The past and future of empirical finance: some personal comments

DOI10.1016/J.JECONOM.2004.09.002MaRDI QIDQ265100zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• scientific article; zbMATH DE number 1064370
• Financial econometrics: Past developments and future challenges
• Notes on financial econometrics
• scientific article; zbMATH DE number 2174795
• ARCH modeling in finance. A review of the theory and empirical evidence

Cites work

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

Cited in

(10)

• Risky asset models with tempered stable fractal activity time
• A generalized hyperbolic model for a risky asset with dependence
• Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes
• Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions
• The Student subordinator model with dependence for risky asset returns
• Bayesian analysis of periodic asymmetric power GARCH models
• A normal inverse Gaussian model for a risky asset with dependence
• Student-like models for risky asset with dependence
• Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes
• Sir Clive W. J. Granger model selection

This page was built for publication: The past and future of empirical finance: some personal comments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q265100)