Description

Vol 1 covers fundamental econometric techniques and tools on recent advances in financial econometrics. Parametric and nonparametric, in continuous time and discrete time, these techniques and tools include Markov processes, a system for categorizing volatility concepts, a simulated method of moments indicator, and models for the timing of events. Together they reveal the ways that local characterizations can lead to long-run implications and how relationships between observed and unobserved values can be inferred.  Vol 2 covers important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship.

Key Features

  • Set is the collection of Volumes 1 & 2
  • Contributors include Nobel Laureate Robert Engle and leading econometricians
  • Offers a clarity of method and explanation unavailable in other financial econometrics collections

Readership

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

Table of 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

Details

No. of pages:
1000
Language:
English
Copyright:
© 2010
Published:
Imprint:
North Holland
Not Applicable ISBN:
9780444535542
Electronic ISBN:
9780444535559

About the authors

Yacine Ait-Sahalia

Affiliations and Expertise

Department of Economics, Princeton University

Lars Hansen

Lars Peter Hansen is David Rockefeller Distinguished Service Professor at the University of Chicago, and is an internationally known leader in economic dynamics. Hansen guides the scholarly direction of the Becker Friedman Institute and chairs the Institute Research Council. He was one of the forces behind the 2008 creation of the Milton Friedman Institute, the predecessor of the Becker Friedman Institute, and served as its founding director. He was one of three in 2013 to be awarded The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel along with Eugene F. Fama and Robert J. Shiller "for their empirical analysis of asset prices." Hansen’s work explores formal implications of dynamic economic models in which decision makers face uncertain environments. The main theme of his research has been to devise and apply econometric methods that are consistent with the probabilistic framework of the economic models under investigation. His work has implications for consumption, savings investment, and asset pricing. Hansen's early research in econometrics was aimed at developing time series statistical methods to investigate one part of an economic model without having to fully specify and estimate all of the model ingredients. The applications he explored with several coauthors included systems that are rich enough to support models of asset valuation and to identify and clarify empirical puzzles, where real-world financial and economic data were at odds with prevailing academic models. He continues to explore, analyze, and interpret implications of dynamic economic models in environments with uncertainty from a time-series perspective. His recent research explores ways to quantify intertemporal risk-return tradeoffs and ways to model economic behavior when decision makers are uncertain about how to forecast future economic events. Hansen won the 2010 BBVA Foundation Frontiers of Knowledge Award in the Economics, Finance and Management “for making

Affiliations and Expertise

University of Chicago, Chicago, IL, USA

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

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