HANDBOOK OF FINANCIAL ECONOMETRICS VOL. 2

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 propelfinancial econometric research for years. • Presents a broad survey of current research
• Contributors are leading econometricians
• Offers a clarity of method and explanation unavailable in other financial econometrics collections

CONTENTS

Volume 2: Applications
13 MCMC Methods for Continuous-Time Financial Econometrics
14 The Analysis of the Cross-Section of Security Returns
15 Option Pricing Bounds and Statistical Uncertainty: Using Econometrics to Find an Exit Strategy in Derivatives Trading
16 Inference for Stochastic Processes
17 Stock Market Trading Volume
Conclusion
Acknowledgments
References



Páginas : 385
Peso : 3 mb.
Formato : PDF.
Edición : Volumen 2.
Año de Publicación : 2009.
ISBN : 9780444535481
Editorial : North Holland
Autor : Yacine Aït-Sahalia, Lars Peter Hansen