04283nam 2200601Ia 450 991051140600332120230120010849.01-282-38195-497866123819590-444-53549-7(CKB)2550000000000612(EBL)477367(OCoLC)814419952(SSID)ssj0000338425(PQKBManifestationID)11297346(PQKBTitleCode)TC0000338425(PQKBWorkID)10298560(PQKB)10867964(MiAaPQ)EBC477367(EXLCZ)99255000000000061220090630d2009 uy 0engur|n|---|||||txtccrHandbook of financial econometricsVolume 2Applications[electronic resource] /edited by Yacine Aït-Sahalia, Lars Peter HansenAmsterdam ;Boston North-Holland/Elsevier20091 online resource (385 p.)Handbooks in financeDescription based upon print version of record.0-444-53548-9 Includes bibliographical references and index.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 Characteristics3. 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 Options7. 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 Properties4. Cross-Sectional Properties5. Volume Implications of Portfolio Theory; 6. Volume Implications of Intertemporal Asset Pricing Models; 7. Conclusion; Acknowledgments; References; IndexApplied 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 yearHandbooks in finance.FinanceEconometric modelsEconometricsFinanceEconometric models.Econometrics.330.015195Aït-Sahalia Yacine936725Hansen Lars Peter318477MiAaPQMiAaPQMiAaPQBOOK9910511406003321Handbook of financial econometrics2550343UNINA