金融计量的新近发展

这篇论文在一个统一的统计学框架内选择性地综述了时间序列金融计量学的部分最新发展.论题包括有效市场假说的检验,金融收益的预测,波动的聚类和溢出效应,风险值(VaR),统计密度函数预测,以及金融模型的诊断检验.对每一问题,我们讨论了合适的统计概念、模型和方法,以及它们在金融数据分析中的一些应用.

SOME RECENT DEVELOPMENT IN FINANCIAL ECONOMETRICS

this paper is a selective review on some recent developments in financial time series econometrics,using a unified statistical frameworf.the topics covered include tests of the efficient marfet hypothesis and prediction of financial returns,volatility clustering and spillover,value at risf,probability density forecasts,as well as diagnostic tests for financial models. for each financial context,we discuss suitable statistical concepts,models and methods,as well as some of their applications to financial dat