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Financial econometrics } A new discipline with new methods
Robert Engle
Department of Economics, University of California at San Diego,
9500 Gilman Drive, La Jolla, CA 92093-0508, USA and Stern School of
Business, New York University, 44 West 4th Street, Suite 9-160, New
York, NY 10012, USA
Financial econometrics is simply the application of econometric
tools to "nancial data. For many years, least-squares techniques...