Handbook of Financial Econometrics Set

Set is the collection of Volumes 1 & 2
Contributors include Nobel Laureate Robert Engle and leading econometricians
Offers a clarity of method and explanation unavailable in other financial econometrics collections

Companion Products

Handbook of Financial Econometrics, Vol 1 : Tools and Techniques
Handbook of Financial Econometrics, Vol 2 : Applications

Readership
University, research, and major public libraries with finance and economic holdings, academics in finance and economics, finance and economics professionals.


Table 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




Author Information
By Yacine Ait-Sahalia, Department of Economics, Princeton University and Lars Hansen, University of Chicago