Handbook of Financial Econometrics, Vol 1

Tools and Techniques

Edited by

  • Yacine Ait-Sahalia, Department of Economics, Princeton University
  • Lars Hansen, University of Chicago, Chicago, IL, USA

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.
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University, research, and major public libraries with finance and economics holdings, academics in finance and economics, finance and economic professionals.


Book information

  • Published: September 2009
  • Imprint: NORTH-HOLLAND
  • ISBN: 978-0-444-50897-3


"With contributions from many (if not most) of the world’s leading scholars in financial econometrics, this volume summarizes the key advances in this field over the past two decades. "

--Darrell Duffie, Stanford University

"This is an outstanding collection of papers covering major recent developments in financial econometrics. Not only is this Handbook a valuable reference, the comprehensive and accessible chapters will make excellent readings for Ph.D. Courses on Empirical Finance and Financial Econometrics."

--Kenneth J. Singleton, Stanford University

Table of Contents

1. Operator Methods for Continuous-Time Markov Processes- Yacine Aït-Sahalia, Lars Peter Hansen

2. Parametric and Nonparametric Volatility Measurement- Torben G. Andersen, Tim Bollerslev, Francis Diebold

3. Nonstationary Continuous-Time Processes- Federico M. Bandi, Peter C.B. Phillips

4. Estimating Functions for Discretely Sampled Diffusion-Type Models- Bo M. Bibby, Martin Jacobsen, Michael Sørensen

5. Portfolio Choice Problems- Michael W. Brandt

6. Heterogeneity and Portfolio Choice: Theory and Evidence- Stephanie E. Curcuru, J. Heaton, Deborah Lucas, Damien Moore

7. Analysis of High Frequency Data- Robert F. Engle, Jeffrey R. Russell

8. Simulated Score Methods and Indirect Inference for Continuous-time Models- A. Ronald Gallant, G. Tauchen

9. The Econometrics of Option Pricing- Rene Garcia, E. Ghysels, Eric Renault

10. Value at Risk- Christian Gourieroux, J. Jasiak

11. Measuring and Modeling Variation in the Risk-Return Tradeoff- Martin Lettau, Sidney C. Ludvigson

12. Affine Term Structure Models- Monika Piazzesi