Rejoinder: A selective overview of nonparametric methods in financial econometrics

I am fully aware that financial econometrics has grown into a vast discipline itself and that it is impossible for me to provide an overview within a reasonable length. Therefore, I greatly appreciate what all discussants have done to expand the scope of discussion and provide additional references. They have also posed open statistical problems for handling nonstationary and/or non-Markovian data with or without market noise. In addition, statistical issues on various versions of capital asset pricing models and their related stochastic discount models [15, 19], the efficient market hypothesis [44] and risk management [17, 45] have barely been discussed. These reflect the vibrant intersection of the interfaces between statistics and finance. I will make some further efforts in outlining econometric problems where statistics plays an important role after brief response to the issues raised by the discussants.