UID:
almahu_9948025795502882
Umfang:
1 online resource (809 p.)
ISBN:
1-282-30923-4
,
9786612309236
,
0-08-092984-2
Serie:
Handbooks in finance
Inhalt:
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
Anmerkung:
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
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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
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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
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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
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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
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7. Future Directions for Research and Development
,
English
Weitere Ausg.:
ISBN 0-444-50897-X
Sprache:
Englisch
