Handbook of financial econometrics
By: edited by Lars Peter Hansen, Yacine Aït-Sahalia.
Contributors: Hansen, Lars Peter.; Aït-Sahalia, Yacine.
Series: Handbooks in finance
Publisher: North-Holland, an imprint of Elsevier
Published: 2009
Place of publication: Boston
Language: eng
ISBN-13: 9780444508973
Subjects: Finance -- Econometric models; Econometrics
Notes: Includes index.
Table of contents: title: Operator methods for continuous-time markov processes / Yacine Aït-Sahalia and Lars Peter Hansen; title: Parametric and nonparametric volatility measurement / Torben G. Andersen, Tim Bollerslev, and Francis Diebold; title: Nonstationary continuous-time processes / Federico M. Bandi and Peter C.B. Phillips; title: Estimating functions for discretely sampled diffusion-type models / Bo M. Bibby, Martin Jacobsen, and Michael Sørensen; title: Portfolio choice problems / Michael W. Brandt; title: Heterogeneity and portfolio choice : theory and evidence / Stephanie E. Curcuru ... [et al.]; title: Analysis of high frequency data / Robert F. Engle and Jeffrey R. Russell; title: Simulated score methods and indirect inference for continuous-time models / A. Ronald Gallant and G. Tauchen; title: The econometrics of option pricing / Rene Garcia, E. Ghysels, and Eric Renault; title: Value at risk / Christian Gourieroux and J. Jasiak; title: MCMC methods for continuous-time financial econometrics / Michael Johannes and Nicholas Polson; title: Measuring and modeling variation in the risk-return tradeoff / Martin Lettau and Sidney C. Ludvigson; title: Affine term structure models / Monika Piazzesi; title: The analysis of the cross section of security returns / Ravi Jagannathan, Giorgios Skoulakis, and Zhenyu Wang; title: Option pricing bounds and statistical uncertainty / Per A. Mykland.