金融计量经济学:成就和挑战

Financial econometrics:achievements and challenges

本文通过对近 2 0年来金融计量经济学主要发展成就的回顾 ,介绍了计量经济学研究的热点领域和有待解决的问题。本文认为 ,ARCH模型以及在此基础上发展起来的其他异方差模型、GMM以及与之相关的参数估计方法的出现以及在金融经济学中成功的运用 ,是金融计量经济学最重要最基本的成就 ;数据及处理方法的独特性使金融计量经济学相对独立于传统计量经济学而发展。

The paper gives a brief retrospect of the main achievements of financial econometrics in the past two decades and discusses the hot spot of research in this field. It is believed in this paper that ARCH and GARCH model, GMM estimation procedure and its application in financial economics has served as the cornerstone in theoretical and empirical research of fiance. Maintaining its special characteristics, the financial econometrics will develop independently of traditional econometrics.