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  • 1
    Online Resource
    Online Resource
    Boston :North-Holland, an imprint of Elsevier,
    UID:
    almahu_9948025795502882
    Format: 1 online resource (809 p.)
    ISBN: 1-282-30923-4 , 9786612309236 , 0-08-092984-2
    Series Statement: Handbooks in finance
    Content: 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, re
    Note: Includes index. , Front Cover; Handbook of Financial Econometrics: Tools and Techniques; Copyright Page; Contents; List of Contributors; Volume 1: Tools and Techniques; Chapter 1 Operator Methods for Continuous-Time Markov Processes; 1. Introduction; 2. Alternative Ways to Model a Continuous-Time Markov Process; 3. Parametrizations of the Stationary Distribution: Calibrating the Long Run; 4. Transition Dynamics and Spectral Decomposition; 5. Hermite and Related Expansions of a Transition Density; 6. Observable Implications and Tests; 7. The Properties of Parameter Estimators; 8. Conclusions; Acknowledgments , ReferencesChapter 2 Parametric and Nonparametric Volatility Measurement; 1. Introduction; 2. Volatility Definitions; 3. Parametric Methods; 4. Nonparametric Methods; 5. Directions for Future Research; Acknowledgments; References; Chapter 3 Nonstationary Continuous-Time Processes; 1. Introduction; 2. Intuition and Conditions; 3. Scalar Diffusion Processes; 4. Scalar Jump-Diffusion Processes; 5. Multivariate Diffusion Processes; 6. Concluding Remarks; Acknowledgments; References; Chapter 4 Estimating Functions for Discretely Sampled Diffusion-Type Models; 1. Introduction , 2. Estimating Functions3. Estimating Functions for Diffusion-Type Processes; 4. Optimal Estimating Functions for Diffusion Models; Acknowledgments; References; Chapter 5 Portfolio Choice Problems; 1. Introduction; 2. Theoretical Problem; 3. Traditional Econometric Approaches; 4. Alternative Econometric Approach; Acknowledgments; References; Chapter 6 Heterogeneity and Portfolio Choice: Theory and Evidence; 1. Introduction; 2. Summary Statistics on Stock Market Participation and Portfolio Choice; 3. Theories of Portfolio Choice; 4. Quantitative Analyses; 5. Empirical Evidence and Issues , 6. ConclusionsAcknowledgments; References; Chapter 7 Analysis of High-Frequency Data; 1. Introduction; 2. Econometric Framework; 3. Conclusion; Appendix A: EACD(3,3) Parameter Estimates Using EVIEWS GARCH Module; Appendix B: VAR Parameter Estimates; References; Chapter 8 Simulated Score Methods and Indirect Inference for Continuous-time Models; 1. Introduction and Overview; 2. Estimation and Model Evaluation; 3. Projection: General Guidelines on the Score Generator; 4. A General Purpose Score Generator; 5. Reprojection: Analysis of Postestimation Simulations; 6. Applications , 7. Software and Practical Issues8. Conclusion; References; Chapter 9 The Econometrics of Option Pricing; 1. Introduction and Overview; 2. Pricing Kernels, Risk-Neutral Probabilities, and Option Pricing; 3. Modeling Asset Price Dynamics via Diffusions for the Purpose of Option Pricing; 4. Implied Risk-Neutral Probabilities; 5. Nonparametric Approaches; 6. Conclusion; Acknowledgments; References; Chapter 10 Value at Risk; 1. Introduction; 2. Value at Risk; 3. Estimation of the Marginal VaR; 4. Estimation of the Conditional VaR; 5. VaR for Portfolios with Derivatives; 6. Credit Risk , 7. Future Directions for Research and Development , English
    Additional Edition: ISBN 0-444-50897-X
    Language: English
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  • 2
    Online Resource
    Online Resource
    Amsterdam ; : North-Holland/Elsevier,
    UID:
    almahu_9949697632902882
    Format: 1 online resource (385 p.)
    ISBN: 1-282-38195-4 , 9786612381959 , 0-444-53549-7
    Series Statement: Handbooks in finance
    Content: 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
    Note: Description based upon print version of record. , 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 , English
    Additional Edition: ISBN 0-444-53548-9
    Language: English
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  • 3
    UID:
    almafu_BV026947441
    Format: 34, [6] S. : graph. Darst.
    Series Statement: Working paper series / National Bureau of Economic Research 5479
    Subjects: Economics
    RVK:
    URL: Volltext  (kostenfrei)
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  • 4
    UID:
    almafu_BV026944798
    Format: 44 S. : , graph. Darst.
    Series Statement: Working paper series / National Bureau of Economic Research 8504
    Language: English
    URL: Volltext  (kostenfrei)
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  • 5
    UID:
    almafu_BV026947292
    Format: 33, [7] S. : graph. Darst.
    Series Statement: Working paper series / National Bureau of Economic Research 5346
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  • 6
    UID:
    almafu_BV026947291
    Format: 39, [4] S. : graph. Darst.
    Series Statement: Working paper series / National Bureau of Economic Research 5345
    Subjects: Economics
    RVK:
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  • 7
    UID:
    almafu_BV026944822
    Format: 45 S. : , graph. Darst.
    Series Statement: Working paper series / National Bureau of Economic Research 8417
    Language: English
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  • 8
    UID:
    almafu_BV026945353
    Format: 35 S.
    Series Statement: Working paper series / National Bureau of Economic Research 8956
    Language: English
    URL: Volltext  (kostenfrei)
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  • 9
    UID:
    almafu_BV026944443
    Format: 68 S. : , graph. Darst.
    Series Statement: Working paper series / National Bureau of Economic Research 8127
    Language: English
    URL: Volltext  (kostenfrei)
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  • 10
    Book
    Book
    Princeton, NJ [u.a.] :Princeton Univ. Press,
    UID:
    almafu_BV042094822
    Format: XXIV, 659 S. : , graph. Darst.
    ISBN: 978-0-691-16143-3 , 0-691-16143-7
    Language: English
    Subjects: Economics , Mathematics
    RVK:
    RVK:
    RVK:
    RVK:
    Keywords: Finanzwirtschaft ; Ökonometrisches Modell ; Ökonometrie
    Author information: Jacod, Jean 1944-
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