The past and future of empirical finance: some personal comments

DOI10.1016/j.jeconom.2004.09.002zbMath1334.62004OpenAlexW2088692679MaRDI QIDQ265100

Clive W. J. Granger

Publication date: 1 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.09.002

zbMATH Keywords

long-memorycontinuous-time theorypredictive distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) History of statistics (62-03) History of game theory, economics, and finance (91-03)

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Cites Work

• An introduction to stochastic unit-root processes
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Long memory and regime switching