Handbook of Financial Econometrics (ePub)
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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, readers will discover that they can set few constraints on the value of this long-awaited volume.
- Presents a broad survey of current research-from local characterizations of the Markov process dynamics to financial market trading activity
- Contributors include Nobel Laureate Robert Engle and leading econometricians
- Offers a clarity of method and explanation unavailable in other financial econometrics collections
Hansen’s work explores formal implications of dynamic economic models in which decision makers face uncertain environments. The main theme of his research has been to devise and apply econometric methods that are consistent with the probabilistic framework of the economic models under investigation. His work has implications for consumption, savings investment, and asset pricing. Hansen's early research in econometrics was aimed at developing time series statistical methods to investigate one part of an economic model without having to fully specify and estimate all of the model ingredients. The applications he explored with several coauthors included systems that are rich enough to support models of asset valuation and to identify and clarify empirical puzzles, where real-world financial and economic data were at odds with prevailing academic models. He continues to explore, analyze, and interpret implications of dynamic economic models in environments with uncertainty from a time-series perspective. His recent research explores ways to quantify intertemporal risk-return tradeoffs and ways to model economic behavior when decision makers are uncertain about how to forecast future economic events.
Hansen won the 2010 BBVA Foundation Frontiers of Knowledge Award in the Economics, Finance and
Hansen is the editor of two Elsevier publications - Handbook of Financial Econometrics, Volume 1, Tools; and Handbook of Financial Econometrics, Volume 2, Applications.
- 2009, 808 Seiten, Englisch
- Herausgegeben: Yacine Ait-Sahalia, Lars Peter Hansen
- Verlag: Elsevier Science & Techn.
- ISBN-10: 0080929842
- ISBN-13: 9780080929842
- Erscheinungsdatum: 19.10.2009
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
- Dateiformat: ePub
- Größe: 6.82 MB
- Mit Kopierschutz
- Vorlesefunktion
--Darrell Duffie, Stanford University
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