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.
1. INTRODUCTION TO THE SERIES 2. CHAPTER 13. MCMC Methods for Continuous-Time Financial Econometrics 3. 1. INTRODUCTION 4. 2. OVERVIEW OF BAYESIAN INFERENCE AND MCMC 5. 3. MCMC: METHODS AND THEORY 6. 4. BAYESIAN INFERENCE AND ASSET PRICING MODELS 7. 5. ASSET PRICING APPLICATIONS 8. 6. CONCLUSIONS AND FUTURE DIRECTIONS 9. CHAPTER 14. The Analysis of the Cross-Section of Security Returns 10. 1. INTRODUCTION 11. 2. LINEAR BETA PRICING MODELS, FACTORS, AND CHARACTERISTICS 12. 3. CROSS-SECTIONAL REGRESSION METHODS 13. 4. MAXIMUM LIKELIHOOD METHODS 14. 5. THE GENERALIZED METHOD OF MOMENTS 15. 6. CONCLUSION 16. CHAPTER 15. Option Pricing Bounds and Statistical Uncertainty: Using Econometrics to Find an Exit Strategy in Derivatives Trading 17. 1. INTRODUCTION 18. 2. OPTIONS HEDGING FROM PREDICTION SETS: BASIC DESCRIPTION 19. 3. OPTIONS HEDGING FROM PREDICTION SETS: THE ORIGINAL CASES 20. 4. PROPERTIES OF TRADING STRATEGIES 21. 5. PREDICTION SETS: GENERAL THEORY 22. 6. PREDICTION SETS: THE EFFECT OF INTEREST RATES AND GENERAL FORMULAE FOR EUROPEAN OPTIONS 23. 7. PREDICTION SETS AND THE INTERPOLATION OF OPTIONS 24. 8. BOUNDS THAT ARE NOT BASED ON PREDICTION SETS 25. CHAPTER 16. Inference for Stochastic Processes 26. 1. INTRODUCTION 27. 2. ABOUT DIFFUSION PROCESSES 28. 3. PARAMETRIC ESTIMATION: ASYMPTOTIC OPTIMALITY CRITERIA 29. 4. DIFFUSIONS AND STATISTICS 30. 5. DISCRETE OBSERVATIONS WITH DECREASING STEPSIZE 31. 6. DISCRETE OBSERVATIONS WITH CONSTANT STEPSIZE 32. 7. OBSERVATIONS WITH ERRORS 33. 8. CONCLUDING REMARKS 34. CHAPTER 17. Stock Market Trading Volume 35. 1. INTRODUCTION 36. 2. MEASURING TRADING ACTIVITY 37. 3. TIME-SERIES PROPERTIES 38. 4. CROSS-SECTIONAL PROPERTIES 39. 5. VOLUME IMPLICATIONS OF PORTFOLIO THEORY 40. 6. VOLUME IMPLICATIONS OF INTERTEMPORAL ASSET PRICING MODELS 41. 7. CONCLUSION 42. INDEX
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.
1. INTRODUCTION TO THE SERIES 2. CHAPTER 13. MCMC Methods for Continuous-Time Financial Econometrics 3. 1. INTRODUCTION 4. 2. OVERVIEW OF BAYESIAN INFERENCE AND MCMC 5. 3. MCMC: METHODS AND THEORY 6. 4. BAYESIAN INFERENCE AND ASSET PRICING MODELS 7. 5. ASSET PRICING APPLICATIONS 8. 6. CONCLUSIONS AND FUTURE DIRECTIONS 9. CHAPTER 14. The Analysis of the Cross-Section of Security Returns 10. 1. INTRODUCTION 11. 2. LINEAR BETA PRICING MODELS, FACTORS, AND CHARACTERISTICS 12. 3. CROSS-SECTIONAL REGRESSION METHODS 13. 4. MAXIMUM LIKELIHOOD METHODS 14. 5. THE GENERALIZED METHOD OF MOMENTS 15. 6. CONCLUSION 16. CHAPTER 15. Option Pricing Bounds and Statistical Uncertainty: Using Econometrics to Find an Exit Strategy in Derivatives Trading 17. 1. INTRODUCTION 18. 2. OPTIONS HEDGING FROM PREDICTION SETS: BASIC DESCRIPTION 19. 3. OPTIONS HEDGING FROM PREDICTION SETS: THE ORIGINAL CASES 20. 4. PROPERTIES OF TRADING STRATEGIES 21. 5. PREDICTION SETS: GENERAL THEORY 22. 6. PREDICTION SETS: THE EFFECT OF INTEREST RATES AND GENERAL FORMULAE FOR EUROPEAN OPTIONS 23. 7. PREDICTION SETS AND THE INTERPOLATION OF OPTIONS 24. 8. BOUNDS THAT ARE NOT BASED ON PREDICTION SETS 25. CHAPTER 16. Inference for Stochastic Processes 26. 1. INTRODUCTION 27. 2. ABOUT DIFFUSION PROCESSES 28. 3. PARAMETRIC ESTIMATION: ASYMPTOTIC OPTIMALITY CRITERIA 29. 4. DIFFUSIONS AND STATISTICS 30. 5. DISCRETE OBSERVATIONS WITH DECREASING STEPSIZE 31. 6. DISCRETE OBSERVATIONS WITH CONSTANT STEPSIZE 32. 7. OBSERVATIONS WITH ERRORS 33. 8. CONCLUDING REMARKS 34. CHAPTER 17. Stock Market Trading Volume 35. 1. INTRODUCTION 36. 2. MEASURING TRADING ACTIVITY 37. 3. TIME-SERIES PROPERTIES 38. 4. CROSS-SECTIONAL PROPERTIES 39. 5. VOLUME IMPLICATIONS OF PORTFOLIO THEORY 40. 6. VOLUME IMPLICATIONS OF INTERTEMPORAL ASSET PRICING MODELS 41. 7. CONCLUSION 42. INDEX
