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Handbook of Financial Econometrics, Vol 2

Applications

Edited by
  • Yacine Ait-Sahalia, Department of Economics, Princeton University
  • Lars Hansen, University of Chicago

Included in series
Handbooks in Finance

Hardbound, 384 Pages

Published: September 2009

Imprint: Elsevier

ISBN: 978-0-444-53548-1

Reviews

  • "With contributions from many (if not most) of the world's leading scholars in financial econometrics, these volumes summarize the key advances in this field over the past two decades."

    --Darrell Duffie, Stanford University


Contents

  • 1. MCMC Methods for Continuous-Time Financial Econometrics- Michael Johannes, Nicholas Polson

    2. The Analysis of the Cross Section of Security Returns- Ravi Jagannathan, Giorgios Skoulakis, Zhenyu Wang

    3. Option Pricing Bounds and Statistical Uncertainty- Per A. Mykland

    4. Inference for Stochastic Processes- Jean Jacod

    5. Stock market Trading Volume- Andrew W. Lo, Jiang Wang

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