Ｌ．Ｐ．ハンセン（共）編／金融計量経済学ハンドブック（第２巻） Handbook of Financial Econometrics : Applications

著者名：Ait-Sahalia, Yacine (EDT)/Hansen, Lars Peter (EDT)

Elsevier Science（2009/10/21発売）

• 言語：ENG
• ISBN：9780444535481
• eISBN：9780444535498

Description

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 propel financial 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

Table of Contents

1. MCMC Methods for Continuous-Time Financial Econometrics- Michael Johannes, Nicholas Polson2. The Analysis of the Cross Section of Security Returns- Ravi Jagannathan, Giorgios Skoulakis, Zhenyu Wang3. Option Pricing Bounds and Statistical Uncertainty- Per A. Mykland4. Inference for Stochastic Processes- Jean Jacod5. Stock market Trading Volume- Andrew W. Lo, Jiang Wang