Handbook of financial econometrics . Volume 2 Applications [[electronic resource] /] / edited by Yacine Aït-Sahalia, Lars Peter Hansen

• Record Nr.: UNINA9910511406003321
• Pubbl/distr/stampa: Amsterdam ; ; Boston, : North-Holland/Elsevier, 2009
• ISBN: 1-282-38195-4; 9786612381959; 0-444-53549-7
• Descrizione fisica: 1 online resource (385 p.)
• Collana: Handbooks in finance
• Altri autori (Persone): Aït-SahaliaYacine; HansenLars Peter
• Disciplina: 330.015195
• Soggetti: Finance - Econometric models; Econometrics
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: Front Cover; Handbook of Financial Econometrics: Applications; Copyright Page; Contents; List of Contributors; Volume 2: Applications; Chapter 13 MCMC Methods for Continuous-Time Financial Econometrics; 1. Introduction; 2. Overview of Bayesian Inference and MCMC; 3. MCMC: Methods and Theory; 4. Bayesian Inference and Asset Pricing Models; 5. Asset Pricing Applications; 6. Conclusions and Future Directions; Acknowledgments; References; Chapter 14 The Analysis of the Cross-Section of Security Returns; 1. Introduction; 2. Linear Beta Pricing Models, Factors, and Characteristics; 3. Cross-Sectional Regression Methods4. Maximum Likelihood Methods; 5. The Generalized Method of Moments; 6. Conclusion; Acknowledgments; References; Chapter 15 Option Pricing Bounds and Statistical Uncertainty: Using Econometrics to Find an Exit Strategy in Derivatives Trading; 1. Introduction; 2. Options Hedging from Prediction Sets: Basic Description; 3. Options Hedging from Prediction Sets: The Original Cases; 4. Properties of Trading Strategies; 5. Prediction Sets: General Theory; 6. Prediction Sets: The Effect of Interest Rates and General Formulae for European Options; 7. Prediction Sets and the Interpolation of Options8. Bounds that are ; not Based on Prediction Sets; Acknowledgments; References; Chapter 16 Inference for Stochastic Processes; 1. Introduction; 2. About Diffusion Processes; 3. Parametric Estimation: Asymptotic Optimality Criteria; 4. Diffusions and Statistics; 5. Discrete Observations with Decreasing Stepsize; 6. Discrete Observations with Constant Stepsize; 7. Observations with Errors; 8. Concluding Remarks; References; Chapter 17 Stock Market Trading Volume; 1. Introduction; 2. Measuring Trading Activity; 3. Time-Series Properties; 4. Cross-Sectional Properties5. Volume Implications of Portfolio Theory; 6. Volume Implications of Intertemporal Asset Pricing Models; 7. Conclusion; Acknowledgments; References; Index
• Sommario/riassunto: 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 year