Handbook of Financial Econometrics
eBook - ePub

Handbook of Financial Econometrics

Tools and Techniques

  1. 808 pages
  2. English
  3. ePUB (mobile friendly)
  4. Available on iOS & Android
eBook - ePub

Handbook of Financial Econometrics

Tools and Techniques

About this book

This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and 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
North Holland
Year
2009
Print ISBN
9780444508973
eBook ISBN
9780080929842
Topic
Economics
Subtopic
Finance
Index
Economics

Table of contents

  1. Cover
  2. Title Page
  3. Copyright
  4. Table of Contents
  5. Introduction to the Series
  6. List of Contributors
  7. Chapter 1: Operator Methods for Continuous-Time Markov Processes
  8. Chapter 2: Parametric and Nonparametric Volatility Measurement
  9. Chapter 3: Nonstationary Continuous-Time Processes
  10. Chapter 4: Estimating Functions for Discretely Sampled Diffusion-Type Models
  11. Chapter 5: Portfolio Choice Problems
  12. Chapter 6: Heterogeneity and Portfolio Choice: Theory and Evidence
  13. Chapter 7: Analysis of High-Frequency Data
  14. Chapter 8: Simulated Score Methods and Indirect Inference for Continuous-time Models
  15. Chapter 9: The Econometrics of Option Pricing
  16. Chapter 10: Value at Risk
  17. Chapter 11: Measuring and Modeling Variation in the Risk-Return Trade-off
  18. Chapter 12: Affine Term Structure Models
  19. Index