Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan

Peter Phillips and Jun Yu

No 08-2005, Working Papers from Singapore Management University, School of Economics

Abstract: Our comments on Fan’s paper will concentrate on two issues that relate in important ways to the paper’s focus on misspecification and discretization bias and the role of nonparametric methods in empirical finance.

Pages: 18 pages
Date: 2005-04
New Economics Papers: this item is included in nep-fmk and nep-sea
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Citations: View citations in EconPapers (6)

Published in SMU Economics and Statistics Working Paper Series

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