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Item Details
| Title:
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HANDBOOK OF FINANCIAL ECONOMETRICS SET
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| By: |
Yacine Ait-Sahalia (Editor), Lars Hansen (Editor) |
| Format: |
Paperback |
| List price:
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£135.00 |
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We believe that this item is permanently unavailable, and so we cannot source
it.
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| ISBN 10: |
0444535543 |
| ISBN 13: |
9780444535542 |
| Publisher: |
ELSEVIER SCIENCE & TECHNOLOGY |
| Pub. date: |
16 November, 2009 |
| Series: |
Handbooks in Finance |
| Pages: |
1000 |
| Description: |
Covers fundamental econometric techniques and tools on advances in financial econometrics. This title also covers important research even as they make unique empirical contributions to the literature. |
| Synopsis: |
Vol 1 covers fundamental econometric techniques and tools on recent advances in financial econometrics. Parametric and nonparametric, in continuous time and discrete time, these techniques and tools include Markov processes, a system for categorizing volatility concepts, a simulated method of moments indicator, and models for the timing of events. Together they reveal the ways that local characterizations can lead to long-run implications and how relationships between observed and unobserved values can be inferred. Vol 2 covers 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. This set is the collection of Volumes 1 & 2. Its contributors include Nobel Laureate Robert Engle and leading econometricians. It offers a clarity of method and explanation unavailable in other financial econometrics collections. |
| Illustrations: |
Illustrations |
| Publication: |
US |
| Imprint: |
North-Holland |
| Returns: |
Returnable |
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