Handbook of Financial Econometrics Volume 2 - Applications
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
"With contributions from many 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
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
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