Yacine Ait-Sahalia,
Lars Peter Hansen
Elsevier Science
e druk, 2009
9780444508973
Handbook of Financial Econometrics
Tools and Techniques
Specificaties
Gebonden, blz.
|
Engels
Elsevier Science |
e druk, 2009
ISBN13: 9780444508973
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Onderdeel van serie
Handbooks in Finance
Levertijd ongeveer 9 werkdagen
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Samenvatting
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.
Specificaties
ISBN13:9780444508973
Taal:Engels
Bindwijze:Gebonden
Uitgever:Elsevier Science
Serie:Handbooks in Finance
Inhoudsopgave
<p>1. Operator Methods for Continuous-Time Markov Processes- Yacine Aït-Sahalia, Lars Peter Hansen</p> <p>2. Parametric and Nonparametric Volatility Measurement- Torben G. Andersen, Tim Bollerslev, Francis Diebold</p> <p>3. Nonstationary Continuous-Time Processes- Federico M. Bandi, Peter C.B. Phillips</p> <p>4. Estimating Functions for Discretely Sampled Diffusion-Type Models- Bo M. Bibby, Martin Jacobsen, Michael Sørensen</p> <p>5. Portfolio Choice Problems- Michael W. Brandt</p> <p>6. Heterogeneity and Portfolio Choice: Theory and Evidence- Stephanie E. Curcuru, J. Heaton, Deborah Lucas, Damien Moore</p> <p>7. Analysis of High Frequency Data- Robert F. Engle, Jeffrey R. Russell</p> <p>8. Simulated Score Methods and Indirect Inference for Continuous-time Models- A. Ronald Gallant, G. Tauchen</p> <p>9. The Econometrics of Option Pricing- Rene Garcia, E. Ghysels, Eric Renault</p> <p>10. Value at Risk- Christian Gourieroux, J. Jasiak</p> <p>11. Measuring and Modeling Variation in the Risk-Return Tradeoff- Martin Lettau, Sidney C. Ludvigson</p> <p>12. Affine Term Structure Models- Monika Piazzesi</p>
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