Financial econometrics: Past developments and future challenges
Journal of EconometricsPublished 1 January 2001
Tim Bollerslev
Citations79
SJR quartileQ1
SJR score12.17
SNIP4.85
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Abstract
The field of financial econometrics has had a glamorous run during the life span of the Journal of Econometrics. This note provides a selective summary of the most important developments in the field over the past two decades, notably ARCH and GMM, along with a discussion of promising avenues for future research.
Keywords
Economics, Econometrics and Finance
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