| 金融计量学的理论体系及其新进展 |
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| 引用本文： | 周建,潘慧峰.金融计量学的理论体系及其新进展[J].哈尔滨工业大学学报(社会科学版),2004,6(2):93-99. |
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| 作者姓名： | 周建 潘慧峰 |
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| 作者单位： | 清华大学,北京,100084 |
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| 摘 要： | 金融计量学以其独有的研究对象和研究方法已成为现代金融学最为活跃的分支之一,其综述了市场有效性、市场波动与风险度量三个领域中的经典模型和方法;比较了宏观经济数据和金融数据的特点,介绍了针对金融市场的独特的金融计量方法,对金融计量学的前沿诸如厚尾和高频数据的新进展进行了探讨.结论表明金融数据和计量方法的独特性已经使得金融计量学成为计量经济学中最为活跃和相对独立的研究领域之一.
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| 关 键 词： | 金融计量学 风险度量 计量方法 前沿 |
| 文章编号： | 1009-1971(2004)02-0093-07 |
| 修稿时间： | 2003年11月4日 |
Framework of financial econometrics and its recent development |
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| ZHOU Jian,PAN Hui - feng.Framework of financial econometrics and its recent development[J].Journal of Harbin Institute of Technology(Social Sciences Edition),2004,6(2):93-99. |
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| Authors: | ZHOU Jian PAN Hui - feng |
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| Abstract: | Financial econometrics has become one of the most active fields in modern finance due to its unique study object and method. This paper first reviews the classical models and methods in the field of efficient market hypothesis & volatility and risk measurement. Then it compares the special features of financial data with those of macroeconomic one, and discusses some econometric techniques used in financial market. Finally, it describes the recent development in this area. It is concluded that it is the uniqueness of financial data and new statistical methods that have made financial econometrics to be a most active and independent field in econometrics. |
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| Keywords: | financial econometrics modern finance statistical methods econometric techniques |
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