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).