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THE ECONOMETRICS OF FINANCIAL MARKETS

John Y. Campbell, Andrew W. Lo, and A. Craig MacKinlay,Princeton University Press, 1997

Published online by Cambridge University Press:  01 October 1998

Torben G. Andersen
Affiliation:
Northwestern University

Abstract

The abundance of high-frequency financial data and the rapiddevelopment of computer hardware have combined to transformfinancial economics into, arguably, the most empirically orientedfield within the social sciences. At the same time, as a result ofthe difficulty of conducting genuine market experiments, empiricalfinance remains firmly grounded in the tradition of model-drivenstatistical inference that is characteristic of economics. Even so,the richness of data has often spurred a practical orientation thatis more familiar in the natural sciences. The combination has provedfertile, leading to the classification of a set of loosely connectedempirical topics as a distinct entity, financialeconometrics.

Information

Type
Book Review
Copyright
© 1998 Cambridge University Press

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