Overview

Vol 1 covers fundamental econometric techniques and tools on recent advances in financial econometrics. Parametric and nonparametric, in continuous time and discrete time, these techniques and tools include 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. Vol 2 covers 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.

Full Product Details

Author:   Yacine Ait-Sahalia (Department of Economics, Princeton University) ,  Lars Peter Hansen (University of Chicago, Chicago, IL, USA) ,  Lars Peter Hansen (University of Chicago, Chicago, IL, USA)
Publisher:   Elsevier Science & Technology
Imprint:   North-Holland
Dimensions:   Width: 19.10cm , Height: 5.80cm , Length: 23.40cm
Weight:   2.800kg
ISBN:  

9780444535542

ISBN 10:   0444535543
Pages:   1000
Publication Date:   16 November 2009
Audience:   Professional and scholarly ,  Professional and scholarly ,  Professional & Vocational ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Out of Print
Availability:   In Print  
Limited stock is available. It will be ordered for you and shipped pending supplier's limited stock.

Table of Contents

1. Operator Methods for Continuous-Time Markov Processes 2.  Parametric and Nonparametric Volatility Measurement 3. Nonstationary Continuous-Time Processes 4. Estimating Functions for Discretely Sampled Diffusion-Type Models- 5. Portfolio Choice Problems 6. Heterogeneity and Portfolio Choice: Theory and Evidence 7. Analysis of High Frequency Data 8. Simulated Score Methods and Indirect Inference for Continuous-time Models 9. The Econometrics of Option Pricing 10. Value at Risk- Christian Gourieroux 11. Measuring and Modeling Variation in the Risk-Return Tradeoff 12. Affine Term Structure Models 1. MCMC Methods for Continuous-Time Financial Econometrics 2. The Analysis of the Cross Section of Security Returns 3. Option Pricing Bounds and Statistical Uncertainty 4. Inference for Stochastic Processes 5. Stock market Trading Volume

Reviews

With contributions from many (if not most) of the world's leading scholars in financial econometrics, these volumes summarize the key advances in this field over the past two decades. --Darrell Duffie, Stanford University This is an outstanding collection of papers covering major recent developments in financial econometrics. Not only is this Handbook a valuable reference, the comprehensive and accessible chapters will make excellent readings for Ph.D. Courses on Empirical Finance and Financial Econometrics. --Kenneth J. Singleton, Stanford University

Author Information

"Lars Peter Hansen is David Rockefeller Distinguished Service Professor at the University of Chicago, and is an internationally known leader in economic dynamics. Hansen guides the scholarly direction of the Becker Friedman Institute and chairs the Institute Research Council. He was one of the forces behind the 2008 creation of the Milton Friedman Institute, the predecessor of the Becker Friedman Institute, and served as its founding director. He was one of three in 2013 to be awarded The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel along with Eugene F. Fama and Robert J. Shiller ""for their empirical analysis of asset prices."" Hansen's work explores formal implications of dynamic economic models in which decision makers face uncertain environments. The main theme of his research has been to devise and apply econometric methods that are consistent with the probabilistic framework of the economic models under investigation. His work has implications for consumption, savings investment, and asset pricing. Hansen's early research in econometrics was aimed at developing time series statistical methods to investigate one part of an economic model without having to fully specify and estimate all of the model ingredients. The applications he explored with several coauthors included systems that are rich enough to support models of asset valuation and to identify and clarify empirical puzzles, where real-world financial and economic data were at odds with prevailing academic models. He continues to explore, analyze, and interpret implications of dynamic economic models in environments with uncertainty from a time-series perspective. His recent research explores ways to quantify intertemporal risk-return tradeoffs and ways to model economic behavior when decision makers are uncertain about how to forecast future economic events. Hansen won the 2010 BBVA Foundation Frontiers of Knowledge Award in the Economics, Finance and Management ""for making fundamental contributions to our understanding of how economic actors cope with risky and changing environments."" He also received the CME Group-MSRI Prize in Innovative Quantitative Applications in 2008 and the Erwin Plein Nemmers Prize in Economics from Northwestern University in 2006. Hansen is a fellow of the National Academy of Sciences and the American Finance Association. He also is a member of the American Academy of Arts and Sciences and past president of the Econometric Society. Hansen is the editor of two Elsevier publications - Handbook of Financial Econometrics, Volume 1, Tools; and Handbook of Financial Econometrics, Volume 2, Applications."

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