Handbook of financial econometrics tools and techniques
By: edited by Yacine Aït-Sahalia, Lars Peter Hansen.
Contributors: Aït-Sahalia, Yacine.; Hansen, Lars Peter.
Series: Handbooks in finance; Handbooks in finance
Publisher: North-Holland/Elsevier
Published: 2010
Place of publication: Amsterdam; Boston
Language: eng
ISBN-13: 9780444508973; 9780444535542; 9780444535481
Subjects: Finance -- Econometric models; Econometrics
Description: 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 ̐At-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 Prize laureate Robert Engle and other leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections.
Notes: Includes bibliographical references and index.
Table of contents: title: v. 1. Tools and techniques; title: v. 2. Applications.