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.

Reviews

"With contributions from many (if not most) of the world's leading scholars in financial econometrics, these volumes summarize the key advances in this field over the past two decades."

--Darrell Duffie, Stanford University

Feature

• Presents a broad survey of current research
• Contributors are leading econometricians
• Offers a clarity of method and explanation unavailable in other financial econometrics collections

13 MCMC Methods for Continous-time Financial Econometrics 14 The Analysis of the Cross-Section of Security Returns 15 Option Pricing Bounds and statistical ncertainty: Using Econometrics to Find an Exit Strategy in Derivatives Trading 16 Infernece for Stochastic Processes 17 Stock Market Trading Volume