Handbook of Financial Econometrics

Tools and Techniques

Yacine Ait-Sahalia,Lars Peter Hansen

• Verlag: North Holland
• Jahr: 2009
• ISBN:
  9780080929842
• Thema: Business
• Thema: Finanza

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 Aït-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 research—from 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

Inhaltsverzeichnis

• 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