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1. Parametric and Nonparametric Volatility Measurement
2. Analysis of High Frequency Data
3. Simulated Score Methods and Indirect Inference for Continuous-time Models
4.Measuring and Modelling Variation in the Risk Return tradeoff
5. MCMC Methods for Financial Econometrics
6. Affine Structure Models
7. The Econometrics of Option Pricing?
Handbook of Financial Econometrics
Edited by Yacine Ait-Sahalia and Lars Peter Hansen
(PRELIMINARY CONTRIBUTIONS)
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Operator Methods for Continuous-Time Markov Processes [pdf file]
Chapter by Yacine Ait-Sahalia, L.P. Hansen and J. Scheinkman (August 2004).
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Parametric and Nonparametric Volatility Measurement [pdf file]
Chapter by Torben G. Andersen, T. Bollerslev and F. X. Diebold (July 2002).
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Nonstationary Continuous-Time Processes [pdf file]
Chapter by Federico M. Bandi and P.C.B. Phillips (May 2002).
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Estimating Functions for Discretely Sampled Diffusion-Type Models [pdf file]
Chapter by Bo M. Bibby, M. Jacobsen and M. Sorensen (July 2004).
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Portfolio Choice Problems [pdf file]
Chapter by Michael W. Brandt (August 2004).
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Heterogeneity and Portfolio Choice: Theory and Evidence [pdf file]
Chapter by Stephanie Curcuru, J. Heaton, D. Lucas and D. Moore (September 2004).
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Analysis of High Frequency Data [pdf file]
Chapter by Robert F. Engle and J.R. Russell (October 2002).
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Simulated Score Methods and Indirect Inference for Continuous-time Models [pdf file]
Chapter by A. Ronald Gallant and G. Tauchen (March 2002).
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The Econometrics of Option Pricing [pdf file]
Chapter by Rene Garcia, E. Ghysels and E. Renault (August 2003).
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Value at Risk [pdf file]
Chapter by Christian Gourieroux and J. Jasiak (August 2001).
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Inference for Stochastic Processes [pdf file]
Chapter by Jean Jacod.
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The Analysis of the Cross Section of Security Returns [pdf file]
Chapter by Ravi Jagannathan, G. Skoulakis and Z. Wang (October 2002).
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MCMC Methods for Continuous-Time Financial Econometrics [pdf file]
Chapter by Michael Johannes and N. Polson (December 2003).
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Measuring and Modeling Variation in the Risk-Return Tradeoff [pdf file]
Chapter by Martin Lettau and S. C. Ludvigson (December 2003).
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Stock Market Trading Volume [pdf file]
Chapter by Andrew W. Lo and J. Wang (September 2001).
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Option Pricing Bounds and Statistical Uncertainty [pdf file]
Chapter by Per A. Mykland (September 2003).
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Exotic Options and Levy Processes [pdf file]
Chapter by Laurent Nguyen-Ngoc and M. Yor (January 2002).
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Affine Term Structure Models [pdf file]
Chapter by Monika Piazzesi (March 2004).
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