Ait-Sahalia / Hansen Handbook of Financial Econometrics

Tools and Techniques
1. Auflage 2009
ISBN: 978-0-08-092984-2
Verlag: Elsevier Science & Techn.
Format: EPUB
Kopierschutz: 6 - ePub Watermark

E-Book, Englisch, 808 Seiten

Reihe: ISSN

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 activityContributors include Nobel Laureate Robert Engle and leading econometriciansOffers a clarity of method and explanation unavailable in other financial econometrics collections

Autoren/Hrsg.

Ait-Sahalia, Yacine

Hansen, Lars Peter

Inhaltsverzeichnis

1;Front Cover;1
2;Handbook of Financial Econometrics: Tools and Techniques;4
3;Copyright Page;5
4;Contents;8
5;List of Contributors;26
6;Volume 1: Tools and Techniques;30
6.1;Chapter 1 Operator Methods for Continuous-Time Markov Processes;30
6.1.1;1. Introduction;31
6.1.2;2. Alternative Ways to Model a Continuous-Time Markov Process;32
6.1.3;3. Parametrizations of the Stationary Distribution: Calibrating the Long Run;40
6.1.4;4. Transition Dynamics and Spectral Decomposition;49
6.1.5;5. Hermite and Related Expansions of a Transition Density;65
6.1.6;6. Observable Implications and Tests;74
6.1.7;7. The Properties of Parameter Estimators;84
6.1.8;8. Conclusions;90
6.1.9;Acknowledgments;91
6.1.10;References;91
6.2;Chapter 2 Parametric and Nonparametric Volatility Measurement;96
6.2.1;1. Introduction;97
6.2.2;2. Volatility Definitions;98
6.2.3;3. Parametric Methods;113
6.2.4;4. Nonparametric Methods;132
6.2.5;5. Directions for Future Research;153
6.2.6;Acknowledgments;153
6.2.7;References;153
6.3;Chapter 3 Nonstationary Continuous-Time Processes;168
6.3.1;1. Introduction;169
6.3.2;2. Intuition and Conditions;172
6.3.3;3. Scalar Diffusion Processes;176
6.3.4;4. Scalar Jump-Diffusion Processes;203
6.3.5;5. Multivariate Diffusion Processes;213
6.3.6;6. Concluding Remarks;223
6.3.7;Acknowledgments;225
6.3.8;References;225
6.4;Chapter 4 Estimating Functions for Discretely Sampled Diffusion-Type Models;232
6.4.1;1. Introduction;233
6.4.2;2. Estimating Functions;235
6.4.3;3. Estimating Functions for Diffusion-Type Processes;241
6.4.4;4. Optimal Estimating Functions for Diffusion Models;268
6.4.5;Acknowledgments;291
6.4.6;References;291
6.5;Chapter 5 Portfolio Choice Problems;298
6.5.1;1. Introduction;299
6.5.2;2. Theoretical Problem;300
6.5.3;3. Traditional Econometric Approaches;320
6.5.4;4. Alternative Econometric Approach;350
6.5.5;Acknowledgments;358
6.5.6;References;359
6.6;Chapter 6 Heterogeneity and Portfolio Choice: Theory and Evidence;366
6.6.1;1. Introduction;367
6.6.2;2. Summary Statistics on Stock Market Participation and Portfolio Choice;369
6.6.3;3. Theories of Portfolio Choice;379
6.6.4;4. Quantitative Analyses;387
6.6.5;5. Empirical Evidence and Issues;394
6.6.6;6. Conclusions;403
6.6.7;Acknowledgments;405
6.6.8;References;405
6.7;Chapter 7 Analysis of High-Frequency Data;412
6.7.1;1. Introduction;413
6.7.2;2. Econometric Framework;423
6.7.3;3. Conclusion;450
6.7.4;Appendix A: EACD(3,3) Parameter Estimates Using EVIEWS GARCH Module;452
6.7.5;Appendix B: VAR Parameter Estimates;452
6.7.6;References;453
6.8;Chapter 8 Simulated Score Methods and Indirect Inference for Continuous-time Models;456
6.8.1;1. Introduction and Overview;457
6.8.2;2. Estimation and Model Evaluation;460
6.8.3;3. Projection: General Guidelines on the Score Generator;468
6.8.4;4. A General Purpose Score Generator;472
6.8.5;5. Reprojection: Analysis of Postestimation Simulations;482
6.8.6;6. Applications;488
6.8.7;7. Software and Practical Issues;495
6.8.8;8. Conclusion;501
6.8.9;References;502
6.9;Chapter 9 The Econometrics of Option Pricing;508
6.9.1;1. Introduction and Overview;509
6.9.2;2. Pricing Kernels, Risk-Neutral Probabilities, and Option Pricing;512
6.9.3;3. Modeling Asset Price Dynamics via Diffusions for the Purpose of Option Pricing;525
6.9.4;4. Implied Risk-Neutral Probabilities;539
6.9.5;5. Nonparametric Approaches;553
6.9.6;6. Conclusion;571
6.9.7;Acknowledgments;573
6.9.8;References;573
6.10;Chapter 10 Value at Risk;582
6.10.1;1. Introduction;583
6.10.2;2. Value at Risk;585
6.10.3;3. Estimation of the Marginal VaR;594
6.10.4;4. Estimation of the Conditional VaR;604
6.10.5;5. VaR for Portfolios with Derivatives;613
6.10.6;6. Credit Risk;618
6.10.7;7. Future Directions for Research and Development;632
6.10.8;8. Concluding Remarks;638
6.10.9;Acknowledgments;638
6.10.10;References;638
6.11;Chapter 11 Measuring and Modeling Variation in the Risk-Return Trade-off;646
6.11.1;1. Introduction;647
6.11.2;2. The Conditional Mean of Stock Returns;651
6.11.3;3. The Conditional Volatility of Stock Returns and Its Relation to the Conditional Mean;685
6.11.4;4. The Conditional Sharpe Ratio;701
6.11.5;5. Conclusion;710
6.11.6;Appendix: Data Description;711
6.11.7;Acknowledgments;713
6.11.8;References;713
6.12;Chapter 12 Affine Term Structure Models;720
6.12.1;1. Introduction;721
6.12.2;2. Basics;725
6.12.3;3. Affine Models;732
6.12.4;4. Affine General Equilibrium Models;747
6.12.5;5. Some Famous Affine Models;751
6.12.6;6. Estimation Methods for Affine Models;754
6.12.7;7. Empirical Evidence on Affine Models;761
6.12.8;8. Joint System with Other Macroeconomic Variables;783
6.12.9;Acknowledgments;787
6.12.10;References;787
6.13;Index;796