Handbook of Financial Econometrics
Chapter 1. Operator Methods for Continuous-Time Markov Processes
2. Alternative Ways to Model a Continuous-Time Markov Process
3. Parametrizations of the Stationary Distribution: Calibrating the Long Run
4. Transition Dynamics and Spectral Decomposition
5. Hermite and Related Expansions of a Transition Density
6. Observable Implications and Tests
7. The Properties of Parameter Estimators
Chapter 2. Parametric and Nonparametric Volatility Measurement
Chapter 3. Nonstationary Continuous-Time Processes
Chapter 4. Estimating Functions for Discretely Sampled Diffusion-Type Models
Chapter 5. Portfolio Choice Problems
Chapter 6. Heterogeneity and Portfolio Choice: Theory and Evidence
Chapter 7. Analysis of High-Frequency Data
Chapter 8. Simulated Score Methods and Indirect Inference for Continuous-time Models
Chapter 9. The Econometrics of Option Pricing
Chapter 10. Value at Risk
Chapter 11. Measuring and Modeling Variation in the Risk-Return Trade-off
Chapter 13. MCMC Methods for Continuous-Time Financial Econometrics
Chapter 14. The Analysis of the Cross-Section of Security Returns
Chapter 15. Option Pricing Bounds and Statistical Uncertainty: Using Econometrics to Find an Exit Strategy in Derivatives Trading
Chapter 16. Inference for Stochastic Processes
Chapter 17. Stock Market Trading Volume

Encyclopedia of Quantitative Finance

Handbook of the Economics of Finance