Handbook of Financial Econometrics, Volume 2

1st Edition

Applications

Editors: Yacine Ait-Sahalia Lars Hansen
Hardcover ISBN: 9780444535481
eBook ISBN: 9780444535498
Imprint: Elsevier Science
Published Date: 8th September 2009
Page Count: 384
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Table of 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


Description

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.

Key Features

  • Presents a broad survey of current research
  • Contributors are 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.


Details

No. of pages:
384
Language:
English
Copyright:
© Elsevier Science 2010
Published:
Imprint:
Elsevier Science
eBook ISBN:
9780444535498
Hardcover ISBN:
9780444535481

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


About the Editors

Yacine Ait-Sahalia Editor

Affiliations and Expertise

Department of Economics, Princeton University

Lars Hansen Editor

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