Applied financial econometrics subjects are featured in this second volume, with papers that survey 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. A landmark in its coverage, this volume should propel financial econometric research for years.
- Presents a broad survey of current research
- Contributors are leading econometricians
- Offers a clarity of method and explanation unavailable in other financial econometrics collections
University, research, and major public libraries with finance and economic holdings, academics in finance and economics, finance and economics professionals.
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
- No. of pages:
- © Elsevier Science 2010
- 8th September 2009
- Elsevier Science
- eBook ISBN:
- Hardcover ISBN:
"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