Real Time Econometrics and Empirical Finance
This research considers the problems facing decision makers (particularly in financial institutions) using econometric models in real time.
It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in the construction of automated systems and discusses some of the possible ways advanced in the literature for dealing with them.
The role of feedback from the decision maker's actions to the data generating process is another important topic with implications for financial engineering and decision making by governments and central bankers.
- Center for Applied Financial Economics (CAFE)
- University of Southern California
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- Los Angeles, CA 90089
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