Handbook of Financial Econometrics

1. Operator Methods for Continuous-Time Markov Processes- Yacine Ait-Sahalia, Lars Peter Hansen

2. Parametric and Nonparametric Volatility Measurement- Torben G. Andersen, Tim Bollerslev, Francis Diebold

3. Nonstationary Continuous-Time Processes- Federico M. Bandi, Peter C.B. Phillips

4. Estimating Functions for Discretely Sampled Diffusion-Type Models- Bo M. Bibby, Martin Jacobsen, Michael Sorensen

5. Portfolio Choice Problems- Michael W. Brandt

6. Heterogeneity and Portfolio Choice: Theory and Evidence- Stephanie E. Curcuru, J. Heaton, Deborah Lucas, Damien Moore

7. Analysis of High Frequency Data- Robert F. Engle, Jeffrey R. Russell

8. Simulated Score Methods and Indirect Inference for Continuous-time Models- A. Ronald Gallant, G. Tauchen

9. The Econometrics of Option Pricing- Rene Garcia, E. Ghysels, Eric Renault

10. Value at Risk- Christian Gourieroux, J. Jasiak

11. Measuring and Modeling Variation in the Risk-Return Tradeoff- Martin Lettau, Sidney C. Ludvigson

12. Affine Term Structure Models- Monika Piazzesi

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• Econometria