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dc.contributor.author Ghysels, E
dc.contributor.author Tauchen, G
dc.date.accessioned 2010-03-09T15:29:36Z
dc.date.issued 2003-09-01
dc.identifier.citation Journal of Econometrics, 2003, 116 (1-2), pp. 1 - 7
dc.identifier.issn 0304-4076
dc.identifier.uri http://hdl.handle.net/10161/1914
dc.description.abstract The papers in this volume represent the most recent advances in the intersection of the fields of financial econometrics and financial engineering. A collection of papers presented at a conference organized by the Guest Editors in collaboration with Robert E. Whaley at the Fuqua School of Business of Duke University was supplemented with several additional articles to make up this volume. The articles cover four topics: (1) option pricing, (2) fixed income securities, (3) stochastic volatility and jumps, (4) general asset pricing and portfolio allocation. It concludes with a review essay by David Bates that provides a general perspective on the interface between financial econometrics and financial economics, including current issues and the research agenda for the future. © 2003 Elsevier B.V. All rights reserved.
dc.format.extent 1 - 7
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Journal of Econometrics
dc.relation.isversionof 10.1016/S0304-4076(03)00101-5
dc.title Frontiers of financial econometrics and financial engineering
dc.type Journal Article
dc.department Economics
pubs.issue 1-2
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 116

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