Publisher Summary The class of stochastic volatility (SV) models has its roots in both,
mathematical finance and financial econometrics. In fact, several variations of SV models …

I survey and assess the development of continuous‐time methods in finance during the last
30 years. The subperiod 1969 to 1980 saw a dizzying pace of development with seminal …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

The idea for this book came from the time the authors spent at the Statistics and Applied
Mathematical Sciences Institute (SAMSI) in Research Triangle Park in North Carolina …

Networks are ubiquitous in science and have become a focal point for discussion in
everyday life. Formal statistical models for the analysis of network data have emerged as a …

In this paper we present inference methods which are based on an 'incorrect'criterion, in the
sense that the optimization of this criterion does not directly provide a consistent estimator of …

Abstract B alland P.-A. Proximity and the evolution of collaboration networks: evidence from
research and development projects within the global navigation satellite system (GNSS) …

Like many other assets, housing prices are quite volatile relative to observable changes in
fundamentals. If we are going to understand boom-bust housing cycles, we must incorporate …

This paper examines the empirical performance of jump diffusion models of stock price
dynamics from joint options and stock markets data. The paper introduces a model with …

This book introduces a new generation of statistical econometrics. After linear models
leading to analytical expressions for estimators, and non-linear models using numerical …