Bridge over ocean
1 July 2005 Financial Analysts Journal Volume 61, Issue 4

The Present and Future of Empirical Finance

  1. Clive Granger

More and more data, greatly increased computing power, a rising number of research enthusiasts, an increased number of finance journals, and sophisticated techniques have been the characteristics of empirical finance in the past 30 years. Topics of current interest relate to conditional means, conditional variances, and conditional distributions. These topics will remain in the forefront for years to come and perhaps be joined by questions that will shake the foundations of finance theory. For example, will we find that market data are characterized by jump diffusions—that is, diffusions with breaks—rather than standard diffusions?

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