LEADER 04283nam 2200601Ia 450 001 9910511406003321 005 20230120010849.0 010 $a1-282-38195-4 010 $a9786612381959 010 $a0-444-53549-7 035 $a(CKB)2550000000000612 035 $a(EBL)477367 035 $a(OCoLC)814419952 035 $a(SSID)ssj0000338425 035 $a(PQKBManifestationID)11297346 035 $a(PQKBTitleCode)TC0000338425 035 $a(PQKBWorkID)10298560 035 $a(PQKB)10867964 035 $a(MiAaPQ)EBC477367 035 $a(EXLCZ)992550000000000612 100 $a20090630d2009 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 00$aHandbook of financial econometrics$hVolume 2$iApplications$b[electronic resource] /$fedited by Yacine Ai?t-Sahalia, Lars Peter Hansen 210 $aAmsterdam ;$aBoston $cNorth-Holland/Elsevier$d2009 215 $a1 online resource (385 p.) 225 1 $aHandbooks in finance 300 $aDescription based upon print version of record. 311 $a0-444-53548-9 320 $aIncludes bibliographical references and index. 327 $aFront 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 327 $a3. 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 327 $a7. 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 327 $a4. Cross-Sectional Properties5. Volume Implications of Portfolio Theory; 6. Volume Implications of Intertemporal Asset Pricing Models; 7. Conclusion; Acknowledgments; References; Index 330 $aApplied financial econometrics subjects are featured in this second volume, with papers that survey important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. A landmark in its coverage, this volume should propel financial econometric research for year 410 0$aHandbooks in finance. 606 $aFinance$xEconometric models 606 $aEconometrics 615 0$aFinance$xEconometric models. 615 0$aEconometrics. 676 $a330.015195 701 $aAi?t-Sahalia$b Yacine$0936725 701 $aHansen$b Lars Peter$0318477 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910511406003321 996 $aHandbook of financial econometrics$92550343 997 $aUNINA