Frontiers of financial econometrics and financial engineering

dc.contributor.author	Ghysels, Eric	en_US
dc.contributor.author	Tauchen, George	en_US
dc.date.accessioned	2010-03-09T15:29:36Z
dc.date.available	2010-03-09T15:29:36Z
dc.date.issued	2003	en_US
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.	en_US
dc.format.extent	52036 bytes
dc.format.mimetype	application/pdf
dc.language.iso	en_US
dc.publisher	Journal of Econometrics	en_US
dc.subject	Jumps	en_US
dc.subject	Option pricing	en_US
dc.subject	fixed income securities	en_US
dc.subject	stochastic volatility	en_US
dc.title	Frontiers of financial econometrics and financial engineering	en_US
dc.type	Journal Article	en_US
dc.department	Economics