Publication Type
Journal Article
Version
publishedVersion
Publication Date
2005
Abstract
These comments concentrate on two issues arising from Fan’s overview. The first concerns the importance of finite sample estimation bias relative to the specification and discretization biases that are emphasized in Fan’s discussion. Past research and simulations given here both reveal that finite sample effects can be more important than the other two effects when judged from either statistical or economic viewpoints. Second, we draw attention to a very different nonparametric technique that is based on computing an empirical version of the quadratic variation process. This technique is not mentioned by Fan but has many advantages and has accordingly attracted much recent attention in financial econometrics and empirical applications.
Keywords
Nonparametric method, continuous time models, financial time series, jackknife, realied volatility
Discipline
Econometrics | Health Economics
Research Areas
Econometrics
Publication
Statistical Science
Volume
20
Issue
4
First Page
338
Last Page
343
ISSN
0883-4237
Identifier
10.1214/088342305000000430
Publisher
Institute of Mathematical Sciences
Citation
PHILLIPS, Peter C. B. and YU, Jun.
Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics. (2005). Statistical Science. 20, (4), 338-343.
Available at: https://ink.library.smu.edu.sg/soe_research/371
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1214/088342305000000430