Edited by Yacine Ait-Sahalia and Lars Peter Hansen

(PRELIMINARY CONTRIBUTIONS)

Operator Methods for Continuous-Time Markov Processes [pdf file]

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).

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).

[此贴子已经被作者于2004-12-31 2:27:29编辑过]