NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH



Summer Institute 2010 Methods Lectures Financial Econometrics

July 15 -16, 2010
Sydney Ludvigson, Yacine Ait-Sahalia, Michael Brandt, & Andrew Lo, Organizers

Sydney Ludvigson, New York University and NBER
GMM and Consumption-Based Asset Pricing Models

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Yacine Ait-Sahalia, Princeton University and NBER
Asymptotic Theory and Continuous-Time Methods in Financial Econometrics

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Michael Brandt, Duke University and NBER
Linear Factor Models and Event Studies

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Andrew Lo, MIT and NBER
Financial Econometrics in Action: Analyzing Hedge Funds and Systemic Risk

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