Financial Econometrics

Financial econometrics is the subdiscipline of econometrics that applies statistical methods to financial data to develop, estimate, and test empirical models of financial markets and asset pricing relationships.

13.1K

Publications

1.3M

Citations

15.7K

Authors

3.9K

Institutions

Publications per year

2017–2026

3.1K

Parents

Finance

Children

Asset Pricing EmpiricsAsset Return ModelingBayesian EconometricsBootstrap MethodsCointegration AnalysisDependence ModelingDerivative PricingEvent Study AnalysisFinancial ForecastingForecast Evaluation

Publications

13.1K

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

Halbert White · Econometrica · 1980 · 26.1K citations

Social Sciences, Economics, Econometrics +11

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

Business, Finance, Econometrics +11

Testing for a unit root in time series regression

Peter C.B. Phillips, Pierre Perrón · Biometrika · 1988 · 17.9K citations

Social Sciences, Economics, Econometrics +16

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

Social Sciences, Economics, Econometrics +10

The Cross‐Section of Expected Stock Returns

Eugene F. Fama, Kenneth R. French · The Journal of Finance · 1992 · 15.1K citations · Full text

Business, Economics, Finance +16

1–5 of 13.1K

Authors

15.7K

PC
Peter C.B. Phillips
Yale University, United States
50 publications · 28.2K citations
33
h-index
TB
Tim Bollerslev
Duke University, United States
40 publications · 43.9K citations
33
h-index
MM
Michael McAleer
Erasmus University Rotterdam, Netherlands
45 publications · 3.4K citations
30
h-index
MH
M. Hashem Pesaran
University of Southern California, United States
34 publications · 25.8K citations
28
h-index
AT
Allan Timmermann
University of California San Diego, United States
36 publications · 5.3K citations
28
h-index

1–5 of 15.7K

Institutions

3.9K

1–8 of 3.9K

Venues

The Journal of Finance
300 publications · 101K citations
139
h-index
SSRN Electronic Journal
Repository · 1.4K publications · 76.5K citations
112
h-index
Econometrica
165 publications · 144.8K citations
103
h-index
Journal of Econometrics
359 publications · 76.8K citations
99
h-index
Journal of Financial Economics
113 publications · 51.8K citations
87
h-index

1–5

See also Financial Econometrics
Core Methods	Time Series Analysis Panel Data Analysis Diffusion Models Vector Autoregressive Models State-space Models Kalman Filtering Regression Autoregressive Integrated Moving Average Extended Kalman Filter
Applications	Asset Pricing Risk Management Derivative Pricing Portfolio Optimization Hedging Proprietary Trading Time Series Forecasting Value At Risk
Evaluation	Mean Absolute Error Root Mean Squared Error Analysis Robustness Analysis
Data Types	Accounting