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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 provided satisfactory tools. Stock market forecasts, e$cient market tests, and even tests of portfolio models such as the CAPM and APT were essentially implemented with least squares on cleverly manipulated data sets. More recently, however, the "eld has developed its individual character as new statistical tools have been invented to analyze new questions.