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- W2101610995 abstract "I am fully aware that financial econometrics has grown into a vast discipline itself and that it is impossible for me to provide an overview within a reasonable length. Therefore, I greatly appreciate what all discussants have done to expand the scope of discussion and provide additional references. They have also posed open statistical problems for handling nonstationary and/or non-Markovian data with or without market noise. In addition, statistical issues on various versions of capital asset pricing models and their related stochastic discount models [15, 19], the efficient market hypothesis [44] and risk management [17, 45] have barely been discussed. These reflect the vibrant intersection of the interfaces between statistics and finance. I will make some further efforts in outlining econometric problems where statistics plays an important role after brief response to the issues raised by the discussants." @default.
- W2101610995 created "2016-06-24" @default.
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- W2101610995 date "2005-11-01" @default.
- W2101610995 modified "2023-10-18" @default.
- W2101610995 title "Rejoinder: A Selective Overview of Nonparametric Methods in Financial Econometrics" @default.
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- W2101610995 doi "https://doi.org/10.1214/088342305000000421" @default.
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