The past and future of empirical finance: some personal comments

DOI10.1016/J.JECONOM.2004.09.002zbMATH Open1334.62004OpenAlexW2088692679MaRDI QIDQ265100FDOQ265100

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

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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)

Cites Work

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

Cited In (10)

• A generalized hyperbolic model for a risky asset with dependence
• Risky Asset Models with Tempered Stable Fractal Activity Time
• Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions
• Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes
• Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes
• Bayesian analysis of periodic asymmetric power GARCH models
• Student-like models for risky asset with dependence
• A normal inverse Gaussian model for a risky asset with dependence
• Title not available (Why is that?)
• The Student subordinator model with dependence for risky asset returns

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