{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,9,8]],"date-time":"2025-09-08T05:51:07Z","timestamp":1757310667569},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[1998,10,1]],"date-time":"1998-10-01T00:00:00Z","timestamp":907200000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1998,10]]},"abstract":"<jats:p>The abundance of high-frequency financial data \nand the rapid development of computer hardware have combined \nto transform financial economics into, arguably, the most \nempirically oriented field within the social sciences. \nAt the same time, as a result of the difficulty of conducting \ngenuine market experiments, empirical finance remains firmly \ngrounded in the tradition of model-driven statistical inference \nthat is characteristic of economics. Even so, the richness \nof data has often spurred a practical orientation that \nis more familiar in the natural sciences. The combination \nhas proved fertile, leading to the classification of a \nset of loosely connected empirical topics as a distinct \nentity, <jats:italic>financial econometrics<\/jats:italic>.<\/jats:p>","DOI":"10.1017\/s0266466698145073","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T13:45:46Z","timestamp":1027777546000},"page":"671-685","source":"Crossref","is-referenced-by-count":13,"title":["THE ECONOMETRICS OF FINANCIAL MARKETS"],"prefix":"10.1017","volume":"14","author":[{"given":"Torben G.","family":"Andersen","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[1998,10,1]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466698145073","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,10]],"date-time":"2019-05-10T20:02:59Z","timestamp":1557518579000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466698145073\/type\/journal_article"}},"subtitle":["John Y. Campbell, Andrew W. Lo, and A. Craig MacKinlay, Princeton University Press, 1997"],"short-title":[],"issued":{"date-parts":[[1998,10]]},"references-count":0,"journal-issue":{"issue":"5","published-print":{"date-parts":[[1998,10]]}},"alternative-id":["S0266466698145073"],"URL":"https:\/\/doi.org\/10.1017\/s0266466698145073","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1998,10]]}}}