This volume comprises a reference work for teaching at graduate level and research in empirical finance. It covers a wide range of statistical and probabilistic methods applied to a variety of financial methods.
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Most Helpful Customer Reviews
5 of 6 people found the following review helpful:
4.0 out of 5 stars
Must-read for anyone in quantitative finance,
By Ajay Shah (Bombay, Maharashtra India) - See all my reviews
This review is from: Handbook of Statistics 14: Statistical Methods in Finance (Handbook of Statistics) (Developments in Environmental Economics) (Hardcover)
The book is a collection of survey articles. Many of them are top-notch and exceedingly useful. Some of the topics are a bit off-beat, and relatively unexciting to me. Some of the topics+author pairings are extremely well chosen.I found around five to eight of the 23 chapters to be weak. The remaining are excellent surveys. The book is dated 1996 so the material is late 1995 to early 1996 vintage. The relevant chapters from this book are required reading for all my Ph.D. students.
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Inside This Book
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First Sentence:
A major part of the research effort in finance is directed toward understanding why we observe a variety of financial assets with different expected rates of return. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
valid stochastic discount factor, implicit efficient price, alternate distributional hypotheses, pricing error variance, beta pricing models, implicit skewness, testing option pricing models, optimal forecast errors, mean loss differential, implicit volatilities, expected average variances, stochastic discount factor representation, inverse generalized gamma, maximal moment exponent, moment condition failure, conditional asset pricing models, unobservable market portfolio, given sufficient regularity, partial optimality, linear state space form, middle layer units, testing asset pricing models, price discreteness, trading rule profits, peso effects Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, Business Econom, Monte Carlo, Handbook of Statistics, University of Chicago, Elsevier Science, North Holland, Department of Economics, Econometric Rev, Monetary Econom, Banking Finance, John Wiley, Duke University, San Diego, University of Wisconsin, London School of Economics, Northwestern University, Department of Finance, Dynamic Control, Money Finance, Time Ser, University of California, University of Pennsylvania, National Bureau of Economic Research, Wharton School New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
A major part of the research effort in finance is directed toward understanding why we observe a variety of financial assets with different expected rates of return. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
valid stochastic discount factor, implicit efficient price, alternate distributional hypotheses, pricing error variance, beta pricing models, implicit skewness, testing option pricing models, optimal forecast errors, mean loss differential, implicit volatilities, expected average variances, stochastic discount factor representation, inverse generalized gamma, maximal moment exponent, moment condition failure, conditional asset pricing models, unobservable market portfolio, given sufficient regularity, partial optimality, linear state space form, middle layer units, testing asset pricing models, price discreteness, trading rule profits, peso effects Key Phrases - Capitalized Phrases (CAPs): (learn more)
New York, Business Econom, Monte Carlo, Handbook of Statistics, University of Chicago, Elsevier Science, North Holland, Department of Economics, Econometric Rev, Monetary Econom, Banking Finance, John Wiley, Duke University, San Diego, University of Wisconsin, London School of Economics, Northwestern University, Department of Finance, Dynamic Control, Money Finance, Time Ser, University of California, University of Pennsylvania, National Bureau of Economic Research, Wharton School New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
2
books
cite this book:
- A Companion to Theoretical Econometrics (Blackwell Companions to Contemporary Economics) by Badi H. Baltagi on page 582
- A Companion to Economic Forecasting (Blackwell Companions to Contemporary Economics) by Michael P. Clements on page 66
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