author={Torben G. Andersen},
  journal={Econometric Theory},
  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… 
Dynamic Factor Models: A Review of the Literature
In the last few years, the growth in the amount of economic and financial data available has prompted econometricians to develop or adapt new methods enabling them to summarise efficiently the
What we have learnt from financial econometrics modeling
A central issue around which the recent growth literature has evolved is that of financial econometrics modeling. Expansions of interest in the modeling and analyzing of financial data and the
The efficient markets theory reached the height of its dominance in academic circles around the 1970s. Faith in this theory was eroded by a succession of discoveries of anomalies, many in the 1980s,
An introduction to financial econometrics
This simple question does not have a simple answer. The boundary of such an interdisciplinary area is always moot and any attempt to give a formal definition is unlikely to be successful. Broadly
Nonlinear analysis of financial indexes: comparing behaviors of developed and developing markets
Abstract The efficient market model has been questioned. In econometric, efficient markets are those that have no linear correlation. A lack of linear correlation is not sufficient, since the return
A Review of: “Book Review: Empirical Dynamic Asset Pricing”
Financial econometrics—the use of statistical tools applied to inference, hypothesis testing, and forecasting with models of financial data – has undergone a deep revolution over the past two
The Economics of Financial Markets
The Economics of Financial Markets presents a concise overview of capital markets, suitable for advanced undergraduates and for beginning graduate students in financial economics. Following a brief
The Getting of Macroeconomic Wisdom
The paper discusses a number of trends in the use of macro-economic models for acquiring information about the macro-economy. It is argued that a fundamental distinction should be drawn between
New Kids on the Block
The evolution of quantitative methods in finance is changing the investment management industry. With an altered focus in finance and investment theory, theoretical concepts such as market efficiency


Measuring the Predictable Variation in Stock and Bond Returns
Recent studies show that when a regression model is used to forecast stock and bond returns, the sample R [superscript 2] increases dramatically with the length of the return horizon. These studies
Econometric Models of Option Pricing Errors
This paper, prepared for the Invited Symposium "Financial Econometrics" at the 7th WCES, Tokyo, August 1995, surveys the subject of Econometrics of option pricing, and more precisely try to offer
Simulated Moments Estimation of Markov Models of Asset Prices
This paper provides a simulated moments estimator (SME) of the parameters of dynamic models in which the state vector follows a time-homogeneous Markov process. Conditions are provided for both weak
Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. We show how to use these
& E+G+J+ Luttmer~1995! Econometric evaluation of asset pricing models+
  • Review of Financial Studies
Hara~1997! High frequency data in financial markets: Issues and appli-cations+
  • Journal of Empirical Finance
T+ Bollerslev~1997! Heterogeneous information arrivals and return volatility dynamics: Uncovering the long run in high-frequency returns+
  • Journal of Finance