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
