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6 produkter

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6 produkter

Handbook of Financial Econometrics
Tools and Techniques
AvLars Peter Hansen,Yacine Ait-Sahalia
E-bok
Engelska, 2009
1 625 kr
Läs direkt efter köp
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
Del 1 - Handbooks in Finance
Handbook of Financial Econometrics
Tools and Techniques
AvYacine Ait-Sahalia,Lars Peter Hansen
Inbunden, Engelska, 2009
1 521 kr
Skickas inom 10-15 vardagar
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 A�t-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
Del 2 - Handbooks in Finance
Handbook of Financial Econometrics
Applications
AvYacine Ait-Sahalia,Lars Peter Hansen
Inbunden, Engelska, 2009
967 kr
Skickas inom 10-15 vardagar
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
Applications
AvLars Peter Hansen,Yacine Ait-Sahalia
E-bok
Engelska, 2009
1 024 kr
Läs direkt efter köp
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
High-Frequency Financial Econometrics
AvYacine Aït-Sahalia,Jean Jacod
Inbunden, Engelska, 2014
611 kr
Skickas inom 5-8 vardagar
High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Ait-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Ait-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model.As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Ait-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.
High-Frequency Financial Econometrics
AvJean Jacod,Yacine Ait-Sahalia
E-bok
Engelska, 2014
856 kr
Läs direkt efter köp
A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial dataHigh-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis.Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes.Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

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Yacine Ait-Sahalia – författare

Handbook of Financial Econometrics

Handbook of Financial Econometrics

Handbook of Financial Econometrics

Handbook of Financial Econometrics

High-Frequency Financial Econometrics

High-Frequency Financial Econometrics

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