Stylized Facts

In financial econometrics, a stylized fact is a structural observation that is believed to hold for a diverse collection of instruments, markets, and time periods.

The parry and thrust of stylized facts now drives much, maybe most, econometric modeling of financial time series.

Here are some recent articles that survey stylized facts. Parts of these will be discussed in class.

• Cont, Rama (2001) "Empirical properties of asset returns: stylized facts and statistical issues," Qunatitative Finance, 1, 223-236.
• Malmsten, H. and Terasvirta, T. (2004) "Stylized Facts of Financial Time Series and Three Popluar Models of Volatility, SSE/EFI working paper.
• Rydberg, T. (2005) "Realistic Statistical Modeling of Financial Data," Technical Report, Nuffield College, Oxford, UK.

I believe that Cont (2001) is the best place to start your exploration. If you find further resouces that we should consider in class, please let me know.