Information geometry is an interdisciplinary field that applies the techniques of differential geometry to study probability theory and statistics. It studies statistical manifolds, which are Riemannian manifolds whose points correspond to probability distributions.
Robert Fry Engle III is an American economist and statistician. He won the 2003 Nobel Memorial Prize in Economic Sciences, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility (ARCH)".
In finance, volatility clustering refers to the observation, first noted by Mandelbrot (1963), that "large changes tend to be followed by large changes, of either sign, and small changes tend to be followed by small changes." A quantitative manifestation of this fact is that, while returns themselves are uncorrelated, absolute returns or their squares display a positive, significant and slowly decaying autocorrelation function: corr(|rt|, |rt+τ |) > 0 for τ ranging from a few minutes to several weeks. This empirical property has been documented in the 90's by Granger and Ding (1993) and Ding and Granger (1996) among others; see also. Some studies point further to long-range dependence in volatility time series, see Ding, Granger and Engle (1993) and Barndorff-Nielsen and Shephard.
Financial econometrics is the application of statistical methods to financial market data. Financial econometrics is a branch of financial economics, in the field of economics. Areas of study include capital markets, financial institutions, corporate finance and corporate governance. Topics often revolve around asset valuation of individual stocks, bonds, derivatives, currencies and other financial instruments.
Sir David Roxbee Cox was a British statistician and educator. His wide-ranging contributions to the field of statistics included introducing logistic regression, the proportional hazards model and the Cox process, a point process named after him.
Christian Gouriéroux is an econometrician who holds a Doctor of Philosophy in mathematics from the University of Rouen. He has the Professor exceptional level title from France. Gouriéroux is now a professor at University of Toronto and CREST, Paris [Center for Research in Economics and Statistics].
Ole Eiler Barndorff-Nielsen was a Danish statistician who has contributed to many areas of statistical science.
Sir David Forbes Hendry, FBA CStat is a British econometrician, currently a professor of economics and from 2001 to 2007 was head of the economics department at the University of Oxford. He is also a professorial fellow at Nuffield College, Oxford.
In finance, a volatility swap is a forward contract on the future realised volatility of a given underlying asset. Volatility swaps allow investors to trade the volatility of an asset directly, much as they would trade a price index. Its payoff at expiration is equal to
OxMetrics is an econometric software including the Ox programming language for econometrics and statistics, developed by Jurgen Doornik and David Hendry. OxMetrics originates from PcGive, one of the first econometric software for personal computers, initiated by David Hendry in the 1980s at the London School of Economics.
Peter Reinhard Hansen is the Henry A. Latané Distinguished Professor of Economics at the University of North Carolina at Chapel Hill. He has previously taught at Brown University, Stanford Graduate School of Business, Stanford University, and the European University Institute.
In financial econometrics, the Markov-switching multifractal (MSM) is a model of asset returns developed by Laurent E. Calvet and Adlai J. Fisher that incorporates stochastic volatility components of heterogeneous durations. MSM captures the outliers, log-memory-like volatility persistence and power variation of financial returns. In currency and equity series, MSM compares favorably with standard volatility models such as GARCH(1,1) and FIGARCH both in- and out-of-sample. MSM is used by practitioners in the financial industry to forecast volatility, compute value-at-risk, and price derivatives.
The methodology of econometrics is the study of the range of differing approaches to undertaking econometric analysis.
Jianqing Fan is a statistician, financial econometrician, and data scientist. He is currently the Frederick L. Moore '18 Professor of Finance, Professor of Operations Research and Financial Engineering, Professor of Statistics and Machine Learning, and a former chairman of Department of Operations Research and Financial Engineering (2012–2015) and a former director of Committee of Statistical Studies (2005–2017) at Princeton University, where he directs both statistics lab and financial econometrics lab since 2008.
Realized variance or realised variance is the sum of squared returns. For instance the RV can be the sum of squared daily returns for a particular month, which would yield a measure of price variation over this month. More commonly, the realized variance is computed as the sum of squared intraday returns for a particular day.
The realized kernel (RK) is an estimator of volatility. The estimator is typically computed with high frequency return data, such as second-by-second returns. Unlike the realized variance, the realized kernel is a robust estimator of volatility, in the sense that the realized kernel estimates the appropriate volatility quantity, even when the returns are contaminated with noise.
In estimation theory in statistics, stochastic equicontinuity is a property of estimators that is useful in dealing with their asymptotic behaviour as the amount of data increases. It is a version of equicontinuity used in the context of functions of random variables: that is, random functions. The property relates to the rate of convergence of sequences of random variables and requires that this rate is essentially the same within a region of the parameter space being considered.
Teunis (Teun) Kloek is a Dutch economist and Emeritus Professor of Econometrics at the Erasmus Universiteit Rotterdam. His research interests centered on econometric methods and their applications, especially nonparametric and robust methods in econometrics.
Yacine Aït-Sahalia is the Otto Hack 1903 Professor of Finance and Economics at Princeton University. His primary area of research is financial econometrics. He has been serving as the inaugural director of the Bendheim Center for Finance at Princeton University from 1998 until 2014. Prior to that, he was an assistant professor (1993–96), associate professor (1996–98) and professor of finance (1998) at the University of Chicago Booth School of Business.
Siddhartha Chib is an econometrician and statistician, the Harry C. Hartkopf Professor of Econometrics and Statistics at Washington University in St. Louis. His work is primarily in Bayesian statistics, econometrics, and Markov chain Monte Carlo methods.
