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eBook - ePub
Handbook of Financial Econometrics
Tools and Techniques
Yacine Ait-Sahalia,Lars Peter Hansen
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- 808 pages
- English
- ePUB (mobile friendly)
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eBook - ePub
Handbook of Financial Econometrics
Tools and Techniques
Yacine Ait-Sahalia,Lars Peter Hansen
Book details
Table of contents
Citations
About This Book
This collection of original articlesâ8 years in the makingâshines 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 AĂŻt-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.
- Presents a broad survey of current researchâfrom local characterizations of the Markov process dynamics to financial market trading activity
- Contributors include Nobel Laureate Robert Engle and leading econometricians
- Offers a clarity of method and explanation unavailable in other financial econometrics collections
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Table of contents
- Cover
- Title Page
- Copyright
- Table of Contents
- Introduction to the Series
- List of Contributors
- Chapter 1: Operator Methods for Continuous-Time Markov Processes
- Chapter 2: Parametric and Nonparametric Volatility Measurement
- Chapter 3: Nonstationary Continuous-Time Processes
- Chapter 4: Estimating Functions for Discretely Sampled Diffusion-Type Models
- Chapter 5: Portfolio Choice Problems
- Chapter 6: Heterogeneity and Portfolio Choice: Theory and Evidence
- Chapter 7: Analysis of High-Frequency Data
- Chapter 8: Simulated Score Methods and Indirect Inference for Continuous-time Models
- Chapter 9: The Econometrics of Option Pricing
- Chapter 10: Value at Risk
- Chapter 11: Measuring and Modeling Variation in the Risk-Return Trade-off
- Chapter 12: Affine Term Structure Models
- Index
Citation styles for Handbook of Financial Econometrics
APA 6 Citation
Ait-Sahalia, Y., & Hansen, L. P. (2009). Handbook of Financial Econometrics ([edition unavailable]). North Holland. Retrieved from https://www.perlego.com/book/1836302 (Original work published 2009)
Chicago Citation
Ait-Sahalia, Yacine, and Lars Peter Hansen. (2009) 2009. Handbook of Financial Econometrics. [Edition unavailable]. North Holland. https://www.perlego.com/book/1836302.
Harvard Citation
Ait-Sahalia, Y. and Hansen, L. P. (2009) Handbook of Financial Econometrics. [edition unavailable]. North Holland. Available at: https://www.perlego.com/book/1836302 (Accessed: 25 June 2024).
MLA 7 Citation
Ait-Sahalia, Yacine, and Lars Peter Hansen. Handbook of Financial Econometrics. [edition unavailable]. North Holland, 2009. Web. 25 June 2024.