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 Pages
Published: September 2009
Imprint: North-holland
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
