Title

Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics

Publication Type

Journal Article

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.

Discipline

Econometrics

Research Areas

Econometrics

Publication

Statistical Science

Volume

20

First Page

338-343

ISSN

0883-4237

Identifier

10.1214/088342305000000430