Handbook of Financial Econometrics (ePub)
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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
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, 384 Seiten, Englisch
- Herausgegeben: Yacine Ait-Sahalia, Lars Peter Hansen
- Verlag: Elsevier Science & Techn.
- ISBN-10: 0444535497
- ISBN-13: 9780444535498
- Erscheinungsdatum: 21.10.2009
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- Dateiformat: ePub
- Grösse: 3.31 MB
- Mit Kopierschutz
- Vorlesefunktion
--Darrell Duffie, Stanford University
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