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Covers fundamental econometric techniques and tools on advances in financial econometrics. This title also covers important research even as they make unique empirical contributions to the literature.
List of contents
1. Operator Methods for Continuous-Time Markov Processes 2. Parametric and Nonparametric Volatility Measurement 3. Nonstationary Continuous-Time Processes 4. Estimating Functions for Discretely Sampled Diffusion-Type Models- 5. Portfolio Choice Problems 6. Heterogeneity and Portfolio Choice: Theory and Evidence 7. Analysis of High Frequency Data 8. Simulated Score Methods and Indirect Inference for Continuous-time Models 9. The Econometrics of Option Pricing 10. Value at Risk- Christian Gourieroux 11. Measuring and Modeling Variation in the Risk-Return Tradeoff 12. Affine Term Structure Models 1. MCMC Methods for Continuous-Time Financial Econometrics 2. The Analysis of the Cross Section of Security Returns 3. Option Pricing Bounds and Statistical Uncertainty 4. Inference for Stochastic Processes 5. Stock market Trading Volume
Report
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
This is an outstanding collection of papers covering major recent developments in financial econometrics. Not only is this Handbook a valuable reference, the comprehensive and accessible chapters will make excellent readings for Ph.D. Courses on Empirical Finance and Financial Econometrics." --Kenneth J. Singleton, Stanford University
