Statistical methods in finance (Q1380187)

[The articles of this volume will not be indexed individually.] This is Volume 14 in the ``Handbook of Statistics'' series. Its declared goal is to provide a comprehensive reference volume on the use of statistical methods in finance, and the wide range of its topics is best shown by the part and chapter headings. Part I (asset pricing) has chapters on econometric evaluation of asset pricing models (by W. Ferson/R. Jagannathan), on instrumental variables estimation of conditional beta pricing models (by C. Harvey/C. Kirby) and on semiparametric methods for asset pricing models (by B. Lehmann). Part II (the term structure of interest rates) contains one chapter on modeling the term structure (by A. Pagan/A. Hall/V. Martin). Part III (volatility) has chapters on stochastic volatility (by E. Ghysels/A. Harvey/E. Renault), on stock price volatility (by S. Le Roy) and on GARCH models of volatility (by H. Palm). Part IV (prediction) contains chapters on forecast evaluation and combination (by F. Diebold/J. Lopez), on predictable components in stock returns (by G. Kaul) and on interest rate spreads as predictors of business cycles (by K. Lahiri/J. Wang). Part V (alternative probabilistic models) presents chapters on nonlinear time series, complexity theory, and finance (by W. Brock/P. de Lima), on count data models for financial data (by A. Cameron/P. Trivedi), on financial applications of stable distributions (by J. McCulloch) and on probability distributions for financial models (by J. McDonald). Part VI (applications of specialized statistical methods) contains chapters on bootstrap based tests in financial models (by G. Maddala/H. Li), on principal components and factor analysis (by C. Rao), on errors-in-variables problems in financial models (by G. Maddala/M. Nimalendran), on financial applications of artificial neural networks (by M. Qi) and on applications of limited dependent variable models in finance (by G. Maddala). Finally, part VII (miscellaneous other problems) has chapters on testing option pricing models (by D. Bates), on Peso problems: their theoretical and empirical implications (by M. Evans), on modeling market microstructure time series (by J. Hasbrouck) and on statistical methods in tests of portfolio efficiency: a synthesis (by J. Shanken).