Handbook of financial econometrics /
Handbook of financial econometrics /
- Amsterdam ; Boston : North-Holland/Elsevier, c2010.
- v. <1-2 > :
Volume 1 - Tools and techniques
Volume 2 - Applications
Includes bibliographical references and index.
The first volume is a 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. Applied financial econometrics subjects are featured in the 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.
9780444508973 (v. 1 : hardcover : alk. paper) 044450897X (v. 1 : hardcover : alk. paper) 9780444535542 (set) 0444535543 (set) 0444535489 (vol. 2) 9780444535481 (vol. 2)
Finance
Econometrics.
HG106 / .H365 2010
332.01'5195 / HAN
Volume 1 - Tools and techniques
Volume 2 - Applications
Includes bibliographical references and index.
The first volume is a 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. Applied financial econometrics subjects are featured in the 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.
9780444508973 (v. 1 : hardcover : alk. paper) 044450897X (v. 1 : hardcover : alk. paper) 9780444535542 (set) 0444535543 (set) 0444535489 (vol. 2) 9780444535481 (vol. 2)
Finance
Econometrics.
HG106 / .H365 2010
332.01'5195 / HAN