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