Handbook of Financial Econometrics, Volume 1: Tools and Techniques

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ISBN 10: 0444562451 / ISBN 13: 9780444562456

Published by North Holland, 2009

About this Item

Zustand: Sehr gut | Seiten: 808 | Sprache: Englisch | Produktart: Bücher.

Seller Inventory # 29057350/2

Bibliographic Details

• Title: Handbook of Financial Econometrics, Volume 1: Tools and Techniques
• Publisher: North Holland
• Publication Date: 2009
• Language: English
• ISBN 10: 0444562451
• ISBN 13: 9780444562456
• Binding: Soft cover
• Condition: Sehr gut

About this title

Synopsis

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.

Review

"With contributions from many (if not most) of the world’s leading scholars in financial econometrics, this volume summarizes 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