Handbook of Financial Econometrics
eBook - ePub

Handbook of Financial Econometrics

Applications

  1. 384 pages
  2. English
  3. ePUB (mobile friendly)
  4. Available on iOS & Android
eBook - ePub

Handbook of Financial Econometrics

Applications

About this book

Applied financial econometrics subjects are featured in this second volume, with papers that survey important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. A landmark in its coverage, this volume should propel financial econometric research for years.- Presents a broad survey of current research- Contributors are leading econometricians- Offers a clarity of method and explanation unavailable in other financial econometrics collections

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Yes, you can access Handbook of Financial Econometrics by Yacine Ait-Sahalia,Lars Peter Hansen in PDF and/or ePUB format, as well as other popular books in Economics & Finance. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Elsevier Science
Year
2009
Print ISBN
9780444535481
eBook ISBN
9780444535498
Topic
Economics
Subtopic
Finance
Index
Economics

Table of contents

  1. Cover Image
  2. Table of Contents
  3. Copyright
  4. INTRODUCTION TO THE SERIES
  5. CHAPTER 13. MCMC Methods for Continuous-Time Financial Econometrics
  6. 1. INTRODUCTION
  7. 2. OVERVIEW OF BAYESIAN INFERENCE AND MCMC
  8. 3. MCMC: METHODS AND THEORY
  9. 4. BAYESIAN INFERENCE AND ASSET PRICING MODELS
  10. 5. ASSET PRICING APPLICATIONS
  11. 6. CONCLUSIONS AND FUTURE DIRECTIONS
  12. CHAPTER 14. The Analysis of the Cross-Section of Security Returns
  13. CHAPTER 15. Option Pricing Bounds and Statistical Uncertainty: Using Econometrics to Find an Exit Strategy in Derivatives Trading
  14. 1. INTRODUCTION
  15. 2. OPTIONS HEDGING FROM PREDICTION SETS: BASIC DESCRIPTION
  16. 3. OPTIONS HEDGING FROM PREDICTION SETS: THE ORIGINAL CASES
  17. 4. PROPERTIES OF TRADING STRATEGIES
  18. 5. PREDICTION SETS: GENERAL THEORY
  19. 6. PREDICTION SETS: THE EFFECT OF INTEREST RATES AND GENERAL FORMULAE FOR EUROPEAN OPTIONS
  20. 7. PREDICTION SETS AND THE INTERPOLATION OF OPTIONS
  21. 8. BOUNDS THAT ARE NOT BASED ON PREDICTION SETS
  22. CHAPTER 16. Inference for Stochastic Processes
  23. CHAPTER 17. Stock Market Trading Volume
  24. 1. INTRODUCTION
  25. 2. MEASURING TRADING ACTIVITY
  26. 3. TIME-SERIES PROPERTIES
  27. 4. CROSS-SECTIONAL PROPERTIES
  28. 5. VOLUME IMPLICATIONS OF PORTFOLIO THEORY
  29. 6. VOLUME IMPLICATIONS OF INTERTEMPORAL ASSET PRICING MODELS
  30. 7. CONCLUSION
  31. INDEX