Handbook of Financial Econometrics: Tools and Techniques

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.

Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activityContributors include Nobel Laureate Robert Engle and leading econometriciansOffers a clarity of method and explanation unavailable in other financial econometrics collections

1. Operator Methods for Continuous-Time Markov Processes- Yacine Aït-Sahalia, Lars Peter Hansen

2. Parametric and Nonparametric Volatility Measurement- Torben G. Andersen, Tim Bollerslev, Francis Diebold

3. Nonstationary Continuous-Time Processes- Federico M. Bandi, Peter C.B. Phillips

4. Estimating Functions for Discretely Sampled Diffusion-Type Models- Bo M. Bibby, Martin Jacobsen, Michael Sørensen

5. Portfolio Choice Problems- Michael W. Brandt

6. Heterogeneity and Portfolio Choice: Theory and Evidence- Stephanie E. Curcuru, J. Heaton, Deborah Lucas, Damien Moore

7. Analysis of High Frequency Data- Robert F. Engle, Jeffrey R. Russell

8. Simulated Score Methods and Indirect Inference for Continuous-time Models- A. Ronald Gallant, G. Tauchen

9. The Econometrics of Option Pricing- Rene Garcia, E. Ghysels, Eric Renault

10. Value at Risk- Christian Gourieroux, J. Jasiak

11. Measuring and Modeling Variation in the Risk-Return Tradeoff- Martin Lettau, Sidney C. Ludvigson

12. Affine Term Structure Models- Monika Piazzesi