Handbook of financial econometrics
Subtitle: Applications
By: edited by Yacine Aït-Sahalia, Lars Peter Hansen
Series: Handbooks in finance; Handbooks in finance
Publisher: North-Holland/Elsevier
Published: 2010
Place of publication: Amsterdam; Boston
Language: eng
Format: [electronic resource] /
Number of pages: 356
ISBN-13: 9780444535498
Subjects: Electronic books; Econometric models; Finance; BUSINESS & ECONOMICS; Econometrics
Other titles: Applications
Description: Applied financial econometrics subjects are featured in this second volume, with papers that survey important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. A landmark in its coverage, this volume should propel financial econometric research for years.
Notes: Includes bibliographical references and index.

Description based on print version record.
Table of contents: title: Front Cover; Title Page; Copyright Page; Introduction to the Series; Table of Contents; List of Contributors; Chapter 13. MCMC Methods for Continuous-Time Financial Econometrics; Chapter 14. The Analysis of the Cross-Section of Security Returns; Chapter 15. Option Pricing Bounds and Statistical Uncertainty: Using Econometrics to Find an Exit Strategy in Derivatives Trading; Chapter 16. Inference for Stochastic Processes; Chapter 17. Stock Market Trading Volume; Index.