Handbook of Financial Econometrics

Handbook of Financial Econometrics
Author: Yacine Ait-Sahalia,Lars Peter Hansen
Publsiher: Elsevier
Total Pages: 384
Release: 2009-10-21
Genre: Business & Economics
ISBN: 0444535497

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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

Handbook of Financial Econometrics

Handbook of Financial Econometrics
Author: Yacine Ait-Sahalia,Lars Peter Hansen
Publsiher: Elsevier
Total Pages: 808
Release: 2009-10-19
Genre: Business & Economics
ISBN: 0080929842

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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

Handbook of Financial Econometrics

Handbook of Financial Econometrics
Author: Yacine Aït-Sahalia,Lars Peter Hansen
Publsiher: Unknown
Total Pages: 356
Release: 2009
Genre: Econometrics
ISBN: OCLC:646845561

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Handbook of Research on Emerging Theories Models and Applications of Financial Econometrics

Handbook of Research on Emerging Theories  Models  and Applications of Financial Econometrics
Author: Burcu Adıgüzel Mercangöz
Publsiher: Springer Nature
Total Pages: 465
Release: 2021-02-17
Genre: Business & Economics
ISBN: 9783030541088

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This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.

Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes

Handbook Of Financial Econometrics  Mathematics  Statistics  And Machine Learning  In 4 Volumes
Author: Cheng Few Lee,John C Lee
Publsiher: World Scientific
Total Pages: 5053
Release: 2020-07-30
Genre: Business & Economics
ISBN: 9789811202407

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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.

Handbook of Financial Econometrics and Statistics

Handbook of Financial Econometrics and Statistics
Author: Cheng-Few Lee,John C. Lee
Publsiher: Springer
Total Pages: 2897
Release: 2014-11-14
Genre: Business & Economics
ISBN: 1461477514

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​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.​

Handbook of Financial Econometrics and Statistics

Handbook of Financial Econometrics and Statistics
Author: Cheng-Few Lee,John C. Lee
Publsiher: Springer
Total Pages: 0
Release: 2014-09-28
Genre: Business & Economics
ISBN: 1461477492

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​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.​

Applied Financial Econometrics

Applied Financial Econometrics
Author: Moinak Maiti
Publsiher: Springer Nature
Total Pages: 287
Release: 2021-08-31
Genre: Business & Economics
ISBN: 9789811640636

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This textbook gives students an approachable, down to earth resource for the study of financial econometrics. While the subject can be intimidating, primarily due to the mathematics and modelling involved, it is rewarding for students of finance and can be taught and learned in a straightforward way. This book, going from basics to high level concepts, offers knowledge of econometrics that is intended to be used with confidence in the real world. This book will be beneficial for both students and tutors who are associated with econometrics subjects at any level.