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 Ait-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.
Contents
1. Operator Methods for Continuous-Time Markov Processes- Yacine Ait-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 S?rensen
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
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