Handbook of Financial Econometrics: Tools and TechniquesYacine Ait-Sahalia, Lars Peter Hansen Elsevier, 19. 10. 2009 - Počet stran: 808 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.
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Handbook of Financial Econometrics Lars Peter Hansen,Yacine Aït-Sahalia Náhled není k dispozici. - 2010 |
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affine models Aït-Sahalia approach approximation asset pricing assumption asymptotic Bollerslev bond coefficients cointegrating computed conditional distribution conditional expectation conditional mean consumption continuous-time continuous-time Markov processes correlation covariance matrix defined denotes density depends derivative diffusion discrete discrete-time discussed distribution drift dynamics Econometrics empirical Engle equation error example excess returns expected returns factor forecasting GARCH Gaussian given Hansen implied implied volatility inference interest rate interval investor Journal of Financial jump kernel Lévy process linear Markov process martingale mean–variance measure method of moments methods moments multivariate nonlinear nonparametric notional volatility observed option pricing out-of-sample parameters portfolio choice predictability realized volatility regression risk aversion risk-neutral risk-neutral measure sample Section Sharpe ratio short rate simulation standard stationary statistical stochastic volatility stock market stock returns structural model Tauchen term structure theoretical transaction variables variance vector volatility smile yields zero