Handbook of Financial Econometrics and Statistics
The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions...
| Συγγραφή απο Οργανισμό/Αρχή: | |
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| Άλλοι συγγραφείς: | , |
| Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
New York, NY :
Springer New York : Imprint: Springer,
2015.
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| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- Introduction to Financial Econometrics and Statistics
- Experience, Information Asymmetry, and Rational Forecast Bias
- An Overview of Modeling Dimensions for Performance Appraisal of Global Mutual Funds
- Simulation as a Research Tool for Market Architects
- Motivations for Issuing Putable Debt: An Empirical Analysis
- Multi Risk-Premia Model of U.S. Bank Returns: An Integration of CAPM and APT
- Non-Parametric Bounds for European Option Prices
- Can Time-Varying Copulas Improve Mean-Variance Portfolio?- Determinations of Corporate Earnings Forecast Accuracy: Taiwan Market Experience
- Market-Based Accounting Research (MBAR) Models: A Test of ARIMAX Modeling
- An Assessment of Copula Functions Approach in Conjunction with Factor Model in Portfolio Credit Risk Management
- Assessing Importance of Time-Series versus Cross-Sectional Changes in Panel Data: A Study of International Variations in Ex-Ante Equity Premia and Financial Architecture
- Does Banking Capital Reduce Risk?: An Application of Stochastic Frontier Analysis and GMM Approach
- Evaluating Long-Horizon Event Study Methodology
- Effect of Unexpected Volatility Shocks on Intertemporal Risk-Return Relation
- Combinatorial Methods for Constructing Credit Risk Ratings
- Dynamic Interactions in the Taiwan Stock Exchange: A Threshold VAR Model
- Methods of Denoising Financial Data
- Analysis of Financial Time-Series using Wavelet Methods
- Composite Goodness-of-Fit Tests for Left Truncated Loss Sample
- Effect of Merger on the Credit Rating and Performance of Taiwan Security Firms
- On-/off-the-Run Yield Spread Puzzle: Evidence from Chinese Treasury Markets
- Factor Copula for Defaultable Basket Credit Derivatives
- Panel Data Analysis and Bootstrapping: Application to China Mutual Funds
- Market Segmentation and Pricing of Closed-end Country Funds: An Empirical Analysis
- A Comparison of Portfolios using Different Risk Measurements
- Using Alternative Models and a Combining Technique in Credit Rating Forecasting: An Empirical Study
- Can We Use the CAPM as an Investment Strategy?: An Intuitive CAPM and Efficiency Test
- Group Decision Making Tools for Managerial Accounting and Finance Applications
- Statistics Methods Applied in Employee Stock Options
- Structural Change and Monitoring Tests
- Consequences of Option Pricing of a Long Memory in Volatility
- Seasonal aspects of Australian electricity market
- Pricing Commercial Timberland Returns in the United States
- Optimal Orthogonal Portfolios with Conditioning Information
- MultiFactor, MultiIndicator Approach to Asset Pricing: Method and Empirical Evidence
- Binomial OPM, Black-Scholes OPM and Their Relationship: Decision Tree and Microsoft Excel Approach
- Dividend Payments and Share Repurchases of U.S. Firms: An Econometric Approach
- Term Structure Modeling and Forecasting Using the Nelson-Siegel Model
- The intertemporal relation between expected return and risk on currency
- Quantile Regression and Value-at-Risk
- Earnings Quality and Board Structure: Evidence from South East Asia
- Rationality and Heterogeneity of Survey Forecasts of the Yen-Dollar Exchange Rate: A Reexamination
- Stochastic Volatility Structures and Intra-Day Asset Price Dynamics
- Optimal Asset Allocation under VaR Criterion: Taiwan Stock Market
- Applications of Switching Model in Finance and Accounting
- Matched Sample Comparison Group Analysis
- A Quasi-Maximum Likelihood Estimation Strategy for Value-at-Risk Forecasting: Application to Equity Index Futures Markets
- Computer Technology for Financial Service
- Long-Run Stock Return and the Statistical Inference
- Value-at-Risk Estimation via a Semi-Parametric Approach: Evidence from the Stock Markets
- Modeling Multiple Asset Returns by a Time-Varying t Copula Model
- Internet Bubble Examination with Mean-Variance Ratio
- Quantile Regression in Risk Calibration
- Strike Prices of Options for Overconfident Executives
- Density and Conditional Distribution Based Specification Analysis
- Assessing the Performance of Estimators Dealing with Measurement Errors
- Realized Distributions of Dynamic Conditional Correlation and Volatility Thresholds in the Crude Oil, Gold and Dollar/Pound Currency Markets
- Pre-IT Policy, Post-IT Policy, and the Real Sphere in Turkey
- Determination of Capital Structure: A LISREL Model Approach
- Evaluating the Effectiveness of Futures Hedging
- Evidence on Earning Management by Integrated Oil and Gas Companies
- A Comparative Study of Two Models SV with MCMC Algorithm
- Internal Control Material Weakness, Analysts Accuracy and Bias, and Brokerage Reputation
- What Increases Banks Vulnerability to Financial Crisis: Short-Term Financing or Illiquid Assets?- Accurate Formulae for Evaluating Barrier Options with Dividends Payout and the Application in Credit Risk Valuation
- Pension Funds: Financial Econometrics on the Herding Phenomenon in Spain and the United Kingdom
- Estimating the Correlation of Asset Returns: A Quantile Dependence Perspective
- Multi-Criteria Decision Making for Evaluating Mutual Funds Investment Strategies
- Econometric Analysis of Currency Carry Trade
- Analytical Bounds for Treasury Bond Futures prices
- Rating Dynamics of Fallen Angels and their Speculative Grade-Rated Peers: Static vs. Dynamic Approach
- Creation and Control of Bubbles: Managers Compensation Schemes, Risk Aversion, and Wealth and Short Sale Constraints
- Range Volatility: A Review of Models and Empirical Studies
- Business Models: Applications to Capital Budgeting, Equity Value, and Return Attribution
- VAR Models: Estimation, Inferences, and Applications
- Model Selection for High-Dimensional Problems
- Hedonic Regression Models
- Optimal Payout Ratio under Uncertainty and the Flexibility Hypothesis: Theory and Empirical Evidence
- Modeling Asset Returns with Skewness, Kurtosis, and Outliers
- Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers: Combined Estimator Approach
- A VG-NGARCH Model for Impacts of Extreme Events on Stock Returns
- Risk-Averse Portfolio Optimization via Stochastic Dominance Constraints
- Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type
- Stochastic Change-Point Models of Asset Returns and Their Volatilities
- Unspanned Stochastic Volatilities and Interest Rate Derivatives Pricing
- Alternative Equity Valuation Models
- Time Series Models to Predict the Net Asset Value (NAV) of an Asset Allocation Mutual Fund VWELX
- Discriminant Analysis and Factor Analysis: Theory And Method
- Implied Volatility: Theory and Empirical Method
- Measuring Credit Risk in a Factor Copula Model
- Instantaneous Volatility Estimation by Nonparametric Fourier Transform Methods
- A Dynamic CAPM with Supply Effect Theory and Empirical Results
- A Generalized Model for Optimum Futures Hedge Ratio
- Instrument Variable Approach to Correct for Endogeneity in Finance
- Application of Poisson Mixtures in the Estimation of Probability of Informed Trading
- CEO Stock Options and Analysts Forecast Accuracy and Bias
- Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates
- THE LE CHÂTELIER PRINCIPLE OF THE CAPITAL MARKET EQUILIBRIUM
- Econometric Measures of Liquidity.
