Handbook of Financial Econometrics, Volume 1: Tools and Techniques

Ait-Sahalia, Yacine (Editor)

ISBN 10: 0444562451 / ISBN 13: 9780444562456

Published by North Holland, 2009

About this Item

808 pages. 9.25x7.50x1.82 inches. In Stock. Seller Inventory # zk0444562451

Bibliographic Details

Title: Handbook of Financial Econometrics, Volume 1...

Publisher: North Holland

Publication Date: 2009

Binding: Paperback

Condition: Brand New

About this title

Synopsis:

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 Aït-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.

From the Back Cover:

Fundamental econometric techniques and tools form the basis of this first volume on recent advances in financial econometrics. Parametric and nonparametric, in continuous time and discrete time, among these techniques and tools are Markov processes, a system for categorizing volatility concepts, a simulated method of moments indicator, and models for the timing of events. Together they reveal the ways that local characterizations can lead to long-run implications and how relationships between observed and unobserved values can be inferred. Broad and eclectic, the subjects covered by Volume 1 benchmark the current state of econometric research.