Top 10 Essential Resources for Learning Financial Econometrics. Part #5 - Current Research in Econometrics

Once you have mastered the prior statistical and time-series based texts you will be ready to try your hand at the modern research literature. Depending upon your affiliation, you may or may not be able to access some of the top financial and econometric journals. However, that shouldn't stop you as many academics publish their papers directly to their websites and provide pre-print papers on popular research networks such as the Social Sciences Research Network or the arXiv.

Pre-print servers, in my opinion, are one of the greatest uses of the internet to date. Having graduated from university it is tricky for me to obtain some of the latest papers out of journals. I won't digress into the politics of journal subscriptions, but I will say that SSRN and the arXiv computational finance section provide a great deal of interesting research material, much of it within financial econometrics.

The drawback of sites such as the arXiv, is that they lack the rigour of peer review (by the very nature of the site!), hence it can sometimes be harder to wade through the junk. This is why it is worth keeping on top of the literature via the journals, making use of the pre-print servers to access papers that you know are likely to be of high quality due to the individuals involved.

The traditional academic community will be publishing in high quality journals. They are often a great source of ideas for statistical tools, as well as quantitative trading strategies. The peer review aspect will often ensure you are at least getting a reasonably reputable paper to read before committing the effort to doing so!

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