金融计量学手册(working paper),包含诺贝尔经济学奖获得者Engle、Prescott,金融学大师Ross、Stoll、Stein、Campbell、Tufano、Ritter、Lo、Duffie、Moore、Brandt和王江等大牛的著作,共32篇文献。以下只是部分目录。这是一本非常好的学习金融计量学的工具书!名家辈出!强烈推荐!
Handbook of Financial Econometrics
Edited by Yacine Ait-Sahalia and Lars Peter Hansen
Operator Methods for Continuous-Time Markov Processes
Chapter by Yacine Ait-Sahalia, L.P. Hansen and J. Scheinkman (August 2004).
Parametric and Nonparametric Volatility Measurement
Chapter by Torben G. Andersen, T. Bollerslev and F. X. Diebold (July 2002).
Nonstationary Continuous-Time Processes
Chapter by Federico M. Bandi and P.C.B. Phillips (May 2002).
Estimating Functions for Discretely Sampled Diffusion-Type Models
Chapter by Bo M. Bibby, M. Jacobsen and M. Sorensen (July 2004).
Portfolio Choice Problems
Chapter by Michael W. Brandt (August 2004).
Heterogeneity and Portfolio Choice: Theory and Evidence
Chapter by Stephanie Curcuru, J. Heaton, D. Lucas and D. Moore (September 2004).
Analysis of High Frequency Data
Chapter by Robert F. Engle and J.R. Russell (October 2002).
Simulated Score Methods and Indirect Inference for Continuous-time Models
Chapter by A. Ronald Gallant and G. Tauchen (March 2002).
The Econometrics of Option Pricing
Chapter by Rene Garcia, E. Ghysels and E. Renault (August 2003).
Value at Risk
Chapter by Christian Gourieroux and J. Jasiak (August 2001).
Inference for Stochastic Processes
Chapter by Jean Jacod.
The Analysis of the Cross Section of Security Returns
Chapter by Ravi Jagannathan, G. Skoulakis and Z. Wang (October 2002).
MCMC Methods for Continuous-Time Financial Econometrics
Chapter by Michael Johannes and N. Polson (December 2003).
Measuring and Modeling Variation in the Risk-Return Tradeoff
Chapter by Martin Lettau and S. C. Ludvigson (December 2003).
Stock Market Trading Volume
Chapter by Andrew W. Lo and J. Wang (September 2001).
Option Pricing Bounds and Statistical Uncertainty
Chapter by Per A. Mykland (September 2003).
Exotic Options and Levy Processes
Chapter by Laurent Nguyen-Ngoc and M. Yor (January 2002).
Affine Term Structure Models
Chapter by Monika Piazzesi (March 2004).
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