Finance and Economics
Handbook of Financial Econometrics - Volume 1: Tools and Techniques

Authors: Editors: Yacine Ait-Sahalia, Lars Hansen
Editions: Elsevier
Pages: 808 pages
Date: September 2009
This collection of original articles, 8 years in the making, shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Ait-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume.

Two members of EDHEC-Risk Institute have co-authored chapters in the handbook:
  • Nonstationary Continuous-Time Processes
    Federico M. Bandi, Affiliate Professor of Finance, EDHEC Business School, Peter C.B. Phillips

  • The Econometrics of Option Pricing
    Rene Garcia, Professor of Finance, EDHEC Business School, E. Ghysels, Eric Renault

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