Handbook of Financial Econometrics Set
Edited by- Yacine Ait-Sahalia, Department of Economics, Princeton University
- Lars Hansen, University of Chicago
Audience
University, research, and major public libraries with finance and economic holdings, academics in finance and economics, finance and economics professionals.
Hardbound, 1000 Pages
Published: September 2009
Imprint: North-holland
ISBN: 978-0-444-53554-2
Contents
1. Operator Methods for Continuous-Time Markov Processes
2. Parametric and Nonparametric Volatility Measurement
3. Nonstationary Continuous-Time Processes
4. Estimating Functions for Discretely Sampled Diffusion-Type Models-
5. Portfolio Choice Problems
6. Heterogeneity and Portfolio Choice: Theory and Evidence
7. Analysis of High Frequency Data
8. Simulated Score Methods and Indirect Inference for Continuous-time Models
9. The Econometrics of Option Pricing
10. Value at Risk- Christian Gourieroux
11. Measuring and Modeling Variation in the Risk-Return Tradeoff
12. Affine Term Structure Models
1. MCMC Methods for Continuous-Time Financial Econometrics
2. The Analysis of the Cross Section of Security Returns
3. Option Pricing Bounds and Statistical Uncertainty
4. Inference for Stochastic Processes
5. Stock market Trading Volume
