Handbook Of Financial Econometrics Set

Author : Yacine Ait-Sahalia,Lars Peter Hansen
Publisher : Elsevier
Page : 384 pages
File Size : 40,5 Mb
Release : 2009-10-21
Category : Business & Economics
ISBN : 0444535497

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Handbook of Financial Econometrics by Yacine Ait-Sahalia,Lars Peter Hansen Pdf

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 years. Presents a broad survey of current research Contributors are leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections

Author : Yacine Ait-Sahalia,Lars Peter Hansen
Publisher : Unknown
Page : 780 pages
File Size : 54,9 Mb
Release : 2010
Category : Econometrics
ISBN : 0444535543

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Handbook of Financial Econometrics by Yacine Ait-Sahalia,Lars Peter Hansen Pdf

Author : Lars Peter Hansen,Yacine Aït-Sahalia
Publisher : North-Holland
Page : 780 pages
File Size : 47,5 Mb
Release : 2010
Category : Econometrics
ISBN : 044450897X

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Handbook of Financial Econometrics by Lars Peter Hansen,Yacine Aït-Sahalia Pdf

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 Ait-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. The book presents a broad survey of current research-from local characterizations of the Markov process dynamics to financial market trading activity. Contributors include Nobel Prize laureate Robert Engle and other leading econometricians. The book also offers a clarity of method and explanation unavailable in other financial econometrics collections.

Author : Yacine Ait-Sahalia,Lars Peter Hansen
Publisher : Elsevier
Page : 808 pages
File Size : 42,6 Mb
Release : 2009-10-19
Category : Business & Economics
ISBN : 0080929842

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Handbook of Financial Econometrics by Yacine Ait-Sahalia,Lars Peter Hansen Pdf

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

Author : Cheng Few Lee,John C Lee
Publisher : World Scientific
Page : 5053 pages
File Size : 50,6 Mb
Release : 2020-07-30
Category : Business & Economics
ISBN : 9789811202407

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Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by Cheng Few Lee,John C Lee Pdf

This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Author : George M. Constantinides,Milton Harris,Rene M. Stulz
Publisher : Newnes
Page : 2074 pages
File Size : 45,8 Mb
Release : 2013-01-21
Category : Business & Economics
ISBN : 9780444594655

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Handbook of the Economics of Finance SET:Volumes 2A & 2B by George M. Constantinides,Milton Harris,Rene M. Stulz Pdf

This two-volume set of 23 articles authoritatively describes recent scholarship in corporate finance and asset pricing. Volume 1 concentrates on corporate finance, encompassing topics such as financial innovation and securitization, dynamic security design, and family firms. Volume 2 focuses on asset pricing with articles on market liquidity, credit derivatives, and asset pricing theory, among others. Both volumes present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek insightful perspectives and important details, they demonstrate how corporate finance studies have interpreted recent events and incorporated their lessons. Covers core and newly-developing fields Explains how the 2008 financial crises affected theoretical and empirical research Exposes readers to a wide range of subjects described and analyzed by the best scholars

Author : Cheng-Few Lee,John C. Lee
Publisher : Springer
Page : 0 pages
File Size : 44,5 Mb
Release : 2014-09-28
Category : Business & Economics
ISBN : 1461477492

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Handbook of Financial Econometrics and Statistics by Cheng-Few Lee,John C. Lee Pdf

​The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.​

Author : Torben Gustav Andersen,Richard A. Davis,Jens-Peter Kreiß,Thomas V. Mikosch
Publisher : Springer Science & Business Media
Page : 1045 pages
File Size : 42,5 Mb
Release : 2009-04-21
Category : Business & Economics
ISBN : 9783540712978

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Handbook of Financial Time Series by Torben Gustav Andersen,Richard A. Davis,Jens-Peter Kreiß,Thomas V. Mikosch Pdf

The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.

Author : Anonim
Publisher : Elsevier
Page : 594 pages
File Size : 40,9 Mb
Release : 2020-11-25
Category : Business & Economics
ISBN : 9780444636546

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Handbook of Econometrics by Anonim Pdf

Handbook of Econometrics, Volume 7A, examines recent advances in foundational issues and "hot" topics within econometrics, such as inference for moment inequalities and estimation of high dimensional models. With its world-class editors and contributors, it succeeds in unifying leading studies of economic models, mathematical statistics and economic data. Our flourishing ability to address empirical problems in economics by using economic theory and statistical methods has driven the field of econometrics to unimaginable places. By designing methods of inference from data based on models of human choice behavior and social interactions, econometricians have created new subfields now sufficiently mature to require sophisticated literature summaries. Presents a broader and more comprehensive view of this expanding field than any other handbook Emphasizes the connection between econometrics and economics Highlights current topics for which no good summaries exist

Author : Hrishikesh D. Vinod
Publisher : North Holland
Page : 350 pages
File Size : 40,6 Mb
Release : 2020-01-24
Category : Electronic
ISBN : 9780128202500

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Financial, Macro and Micro Econometrics Using R by Hrishikesh D. Vinod Pdf

Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, financial market jumps and co-jumps, among other topics. Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society Includes descriptions and links to resources and free open source R Gives readers what they need to jumpstart their understanding on the state-of-the-art

Author : Cheng-Few Lee,John C. Lee
Publisher : Springer
Page : 2897 pages
File Size : 45,8 Mb
Release : 2014-11-14
Category : Business & Economics
ISBN : 1461477514

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Handbook of Financial Econometrics and Statistics by Cheng-Few Lee,John C. Lee Pdf

​The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.​

Author : Cheng-Few Lee,John C. Lee
Publisher : Springer
Page : 0 pages
File Size : 43,9 Mb
Release : 2014-09-28
Category : Business & Economics
ISBN : 1461477492

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Handbook of Financial Econometrics and Statistics by Cheng-Few Lee,John C. Lee Pdf

​The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.​

Author : Yacine Ait-Sahalia,Lars Peter Hansen
Publisher : North Holland
Page : 0 pages
File Size : 51,9 Mb
Release : 2009-09-15
Category : Business & Economics
ISBN : 044450897X

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Handbook of Financial Econometrics by Yacine Ait-Sahalia,Lars Peter Hansen Pdf

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.

Author : Jianqing Fan,Qiwei Yao
Publisher : Cambridge University Press
Page : 394 pages
File Size : 40,8 Mb
Release : 2017-03-23
Category : Business & Economics
ISBN : 9781107191174

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The Elements of Financial Econometrics by Jianqing Fan,Qiwei Yao Pdf

A compact, master's-level textbook on financial econometrics, focusing on methodology and including real financial data illustrations throughout. The mathematical level is purposely kept moderate, allowing the power of the quantitative methods to be understood without too much technical detail.

Author : Aman Ullah,David E. A. Giles
Publisher : CRC Press
Page : 532 pages
File Size : 41,8 Mb
Release : 2016-04-19
Category : Mathematics
ISBN : 1420070363

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Handbook of Empirical Economics and Finance by Aman Ullah,David E. A. Giles Pdf

Handbook of Empirical Economics and Finance explores the latest developments in the analysis and modeling of economic and financial data. Well-recognized econometric experts discuss the rapidly growing research in economics and finance and offer insight on the future direction of these fields. Focusing on micro models, the first group of chapters describes the statistical issues involved in the analysis of econometric models with cross-sectional data often arising in microeconomics. The book then illustrates time series models that are extensively used in empirical macroeconomics and finance. The last set of chapters explores the types of panel data and spatial models that are becoming increasingly significant in analyzing complex economic behavior and policy evaluations. This handbook brings together both background material and new methodological and applied results that are extremely important to the current and future frontiers in empirical economics and finance. It emphasizes inferential issues that transpire in the analysis of cross-sectional, time series, and panel data-based empirical models in economics, finance, and related disciplines.