The paper provides a survey of the work that has been done in financial econometrics in the past ... more The paper provides a survey of the work that has been done in financial econometrics in the past decade. It proceeds by first establishing a set of stylized facts that are characteristics of financial series and then by detailing the range of techniques that have been developed to model series which possess these characteristics. Both univariate and multivariate models are considered. 0927-5398(95)00020-8 , and, when var(Yrt) -~ var(~,) = 0, the true MA(1) coefficient et equals 0. Inverting the MA to produce an infinite AR, (1 -aL + o~2L 2 -ot3L3...)xt = "1: t creates a J Many earnings series exhibit a weak first order dependence because of this measurement feature. J~ Returns will include the dividend yield so that Yt needs to be re-defined as beginning of period price plus dividend. In fact, the stability of the dividend yield means that most variation in returns is from the capital gains component.
The paper provides a survey of the work that has been done in financial econometrics in the past ... more The paper provides a survey of the work that has been done in financial econometrics in the past decade. It proceeds by first establishing a set of stylized facts that are characteristics of financial series and then by detailing the range of techniques that have been developed to model series which possess these characteristics. Both univariate and multivariate models are considered. 0927-5398(95)00020-8 , and, when var(Yrt) -~ var(~,) = 0, the true MA(1) coefficient et equals 0. Inverting the MA to produce an infinite AR, (1 -aL + o~2L 2 -ot3L3...)xt = "1: t creates a J Many earnings series exhibit a weak first order dependence because of this measurement feature. J~ Returns will include the dividend yield so that Yt needs to be re-defined as beginning of period price plus dividend. In fact, the stability of the dividend yield means that most variation in returns is from the capital gains component.
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