THE ECONOMETRICS OF FINANCIAL MARKETS

@article{Andersen1998THEEO,
  title={THE ECONOMETRICS OF FINANCIAL MARKETS},
  author={Torben G. Andersen},
  journal={Econometric Theory},
  year={1998},
  volume={14},
  pages={671 - 685}
}
  • T. Andersen
  • Published 1 October 1998
  • Economics
  • Econometric Theory
The abundance of high-frequency financial data and the rapid development of computer hardware have combined to transform financial economics into, arguably, the most empirically oriented field within the social sciences. At the same time, as a result of the difficulty of conducting genuine market experiments, empirical finance remains firmly grounded in the tradition of model-driven statistical inference that is characteristic of economics. Even so, the richness of data has often spurred a… 
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