Información General

• Autores: Cheng-Few Lee (coord.), John C. Lee (coord.)
• Editores: Springer USA
• Año de publicación: 2015
• País: Estados Unidos
• Idioma: inglés
• ISBN: 978-1-4614-7749-5, 978-1-4614-7750-1
• Texto completo no disponible (Saber más ...)

Resumen

• 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 from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.

Otros catálogos

• Red de Bibliotecas Universitarias (REBIUN)

Listado de artículos

• • Introduction to Financial Econometrics and Statistics

    Cheng-Few Lee, John C. Lee

    págs. 1-62

    

  • Experience, Information Asymmetry, and Rational Forecast Bias

    April Knill, Kristina Minnick, Ali Nejadmalayeri

    págs. 63-100

    

  • An Appraisal of Modeling Dimensions for Performance Appraisal of Global Mutual Funds

    G.V. Satya Sekhar

    págs. 101-119

    

  • Simulation as a Research Tool for Market Architects

    Robert A. Schwartz, Bruce Weber

    págs. 121-147

    

  • Motivations for Issuing Putable Debt: An Empirical Analysis

    Ivan E. Brick, Oded Palmon, Dilip K. Patro

    págs. 149-185

    

  • Multi-Risk Premia Model of US Bank Returns: An Integration of CAPM and APT

    Suresh Srivastava, Ken Hung

    págs. 187-206

    

  • Nonparametric Bounds for European Option Prices

    Hsuan-Chu Lin, Ren-Raw Chen, Oded Palmon

    págs. 207-231

    

  • Can Time-Varying Copulas Improve the Mean-Variance Portfolio?

    Ching-Wen Huang, Chun-Pin Hsu, Wan-Jiun Paul Chiou

    págs. 233-251

    

  • Determinations of Corporate Earnings Forecast Accuracy: Taiwan Market Experience

    Ken Hung, Kuo-Hao Lee

    págs. 253-277

    

  • Market-Based Accounting Research (MBAR) Models: A Test of ARIMAX Modeling

    Anastasia Maggina

    págs. 279-298

    

  • An Assessment of Copula Functions Approach in Conjunction with Factor Model in Portfolio Credit Risk Management

    Lie-Jane Kao, Po-Cheng Wu, Cheng-Few Lee

    págs. 299-316

    

  • 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

    Raj Aggarwal, J.W. Goodell

    págs. 317-348

    

  • Does Banking Capital Reduce Risk?: An Application of Stochastic Frontier Analysis and GMM Approach

    Wan-Jiun Paul Chiou, Robert L. Porter

    págs. 349-382

    

  • Evaluating Long-Horizon Event Study Methodology

    James S. Ang, S. Zhang

    págs. 383-411

    

  • The Effect of Unexpected Volatility Shocks on Intertemporal Risk-Return Relation

    Kiseok Nam, J. Krausz, Augustine C. Arize

    págs. 413-437

    

  • Combinatorial Methods for Constructing Credit Risk Ratings

    Alexander Kogan, Miguel A. Lejeune

    págs. 439-483

    

  • Dynamic Interactions Between Institutional Investors and the Taiwan Stock Returns: One-Regime and Threshold VAR Models

    Bwo-Nung Huang, Ken Hung, Chien-Hui Lee, Chin W. Yang

    págs. 485-518

    

  • Methods of Denoising Financial Data

    Thomas Meinl, Edward W. Sun

    págs. 519-538

    

  • Analysis of Financial Time Series Using Wavelet Methods

    Philippe Masset

    págs. 539-573

    

  • Composite Goodness-of-Fit Tests for Left-Truncated Loss Samples

    Anna Chernobai, Svetlozar T. Rachev, Frank J. Fabozzi

    págs. 575-596

    

  • Effect of Merger on the Credit Rating and Performance of Taiwan Security Firms

    Suresh Srivastava, Ken Hung

    págs. 597-615

    

  • On-/Off-the-Run Yield Spread Puzzle: Evidence from Chinese Treasury Markets

    Rong Chen, Hai Lin, Qianni Yuan

    págs. 617-638

    

  • Factor Copula for Defaultable Basket Credit Derivatives

    Po-Cheng Wu, Lie-Jane Kao, Cheng-Few Lee

    págs. 639-655

    

  • Panel Data Analysis and Bootstrapping: Application to China Mutual Funds

    Win Lin Chou, Shou Zhong Ng, Yating Yang

    págs. 657-668

    

  • Market Segmentation and Pricing of Closed-End Country Funds: An Empirical Analysis

    Dilip K. Patro

    págs. 669-705

    

  • A Comparison of Portfolios Using Different Risk Measurements

    Jing Rung Yu, Yu Chuan Hsu, Si Rou Lim

    págs. 707-728

    

  • Using Alternative Models and a Combining Technique in Credit Rating Forecasting: An Empirical Study

    Cheng-Few Lee, K. Wang, Yating Yang, Chan-Chien Lien

    págs. 729-750

    

  • Can We Use the CAPM as an Investment Strategy?: An Intuitive CAPM and Efficiency Test

    Fernando Gómez-Bezares Pascual, Luis Ferruz Agudo, María Vargas Magallón

    • Resumen

    págs. 751-789

    

  • Group Decision-Making Tools for Managerial Accounting and Finance Applications

    Wikil Kwak, Yong Shi, Cheng-Few Lee, Heeseok Lee

    págs. 791-840

    

  • Statistics Methods Applied in Employee Stock Options

    Li-jiun Chen, Cheng-der Fuh

    págs. 841-872

    

  • Structural Change and Monitoring Tests

    Cindy Shin-Huei Wang, Yi Meng Xie

    págs. 873-902

    

  • Consequences for Option Pricing of a Long Memory in Volatility

    Stephen J. Taylor

    págs. 903-933

    

  • Seasonal Aspects of Australian Electricity Market

    V. Ramiah, Stuart Thomas, Richard Heaney, Heather Mitchell

    págs. 935-956

    

  • Pricing Commercial Timberland Returns in the United States

    Bin Mei, Michael L. Clutter

    págs. 957-976

    

  • Optimal Orthogonal Portfolios with Conditioning Information

    Wayne Ferson, Andrew F. Siegel

    págs. 977-1002

    

  • Multifactor, Multi-indicator Approach to Asset Pricing: Method and Empirical Evidence

    Cheng-Few Lee, K.C. John Wei, Hong-Yi Chen

    págs. 1003-1023

    

  • Binomial OPM, Black–Scholes OPM, and Their Relationship: Decision Tree and Microsoft Excel Approach

    John C. Lee

    págs. 1025-1059

    

  • Dividend Payments and Share Repurchases of US Firms: An Econometric Approach

    Alok Bhargava

    págs. 1061-1091

    

  • Term Structure Modeling and Forecasting Using the Nelson-Siegel Model

    Jian Hua

    págs. 1093-1103

    

  • The Intertemporal Relation Between Expected Return and Risk on Currency

    Kamil Yilmaz

    págs. 1105-1141

    

  • Quantile Regression and Value at Risk

    Xiao Zhijie, Hongtao Guo, Miranda S. Lam

    págs. 1143-1167

    

  • Earnings Quality and Board Structure: Evidence from South East Asia

    K.-W. Lee

    págs. 1169-1193

    

  • Rationality and Heterogeneity of Survey Forecasts of the Yen-Dollar Exchange Rate: A Reexamination

    Richard Cohen, Carl Bonham, Shigeyuki Abe

    págs. 1195-1248

    

  • Stochastic Volatility Structures and Intraday Asset Price Dynamics

    G.L. Gannon

    págs. 1249-1275

    

  • Optimal Asset Allocation Under VaR Criterion: Taiwan Stock Market

    Ken Hung, Suresh Srivastava

    págs. 1277-1291

    

  • Alternative Methods for Estimating Firm’s Growth Rate

    Ivan E. Brick, Hong-Yi Chen, Alice C. Lee

    págs. 1293-1310

    

  • Econometric Measures of Liquidity

    Jieun Lee

    págs. 1311-1323

    

  • A Quasi-Maximum Likelihood Estimation Strategy for Value-at-Risk Forecasting: Application to Equity Index Futures Markets

    Óscar Carchano, Y.S. Kim, Edward W. Sun, Svetlozar T. Rachev, Frank J. Fabozzi

    págs. 1325-1340

    

  • Computer Technology for Financial Service

    Fang-Pang Lin, Alice C. Lee, Huimin Chung

    págs. 1341-1379

    

  • Long-Run Stock Return and the Statistical Inference

    Yanzhi Wang

    págs. 1381-1397

    

  • Value-at-Risk Estimation via a Semi-parametric Approach: Evidence from the Stock Markets

    Cheng-Few Lee, Jung-Bin Su

    págs. 1399-1430

    

  • Modeling Multiple Asset Returns by a Time-Varying t Copula Model

    Long Kang

    págs. 1431-1449

    

  • Internet Bubble Examination with Mean-Variance Ratio

    Zhidong Bai, Yongchang C. Hui, Wing-Keung Wong

    págs. 1451-1465

    

  • Quantile Regression in Risk Calibration

    Shih-Kang Chao, Wolfgang K. Härdle, Weining Wang

    págs. 1467-1489

    

  • Strike Prices of Options for Overconfident Executives

    Oded Palmon, I. Venezia

    págs. 1491-1507

    

  • Density and Conditional Distribution-Based Specification Analysis

    Diep Duong, Norman R. Swanson

    págs. 1509-1561

    

  • Assessing the Performance of Estimators Dealing with Measurement Errors

    Heitor Almeida, Murillo Campello, Antonio F. Galvao

    págs. 1563-1617

    

  • Realized Distributions of Dynamic Conditional Correlation and Volatility Thresholds in the Crude Oil, Gold, and Dollar/Pound Currency Markets

    Tung-Li Shih, Hai-Chin Yu, Der-Tzon Hsieh, Chia-Ju Lee

    págs. 1619-1645

    

  • Pre-IT Policy, Post-IT Policy, and the Real Sphere in Turkey

    Ahmed Hachicha, Cheng-Few Lee

    págs. 1647-1667

    

  • Determination of Capital Structure: A LISREL Model Approach

    Cheng-Few Lee, Tzu Tai

    págs. 1669-1683

    

  • Evidence on Earning Management by Integrated Oil and Gas Companies

    Raafat R. Roubi, Hemantha S. B. Herath, John S. Jahera Jr.

    págs. 1685-1695

    

  • A Comparative Study of Two Models SV with MCMC Algorithm

    Ahmed Hachicha, Fatma Hachicha, Afif Masmoudi

    págs. 1697-1718

    

  • Internal Control Material Weakness, Analysts Accuracy and Bias, and Brokerage Reputation

    Li Xu, Alex P. Tang

    págs. 1719-1751

    

  • What Increases Banks Vulnerability to Financial Crisis: Short-Term Financing or Illiquid Assets?

    G.N. Dong, Yuna Heo

    págs. 1753-1770

    

  • Accurate Formulas for Evaluating Barrier Options with Dividends Payout and the Application in Credit Risk Valuation

    Tian-Shyr Dai, Chun-Yuan Chiu

    págs. 1771-1800

    

  • Pension Funds: Financial Econometrics on the Herding Phenomenon in Spain and the United Kingdom

    Mercedes Alda García, Luis Ferruz Agudo

    págs. 1801-1828

    

  • Estimating the Correlation of Asset Returns: A Quantile Dependence Perspective

    Nicholas Sim

    págs. 1829-1855

    

  • Multi-criteria Decision Making for Evaluating Mutual Funds Investment Strategies

    Shin-Yun Wang, Cheng-Few Lee

    págs. 1857-1876

    

  • Econometric Analysis of Currency Carry Trade

    Yu-Jen Wang, Huimin Chung, B. Mizrach

    págs. 1877-1890

    

  • Evaluating the Effectiveness of Futures Hedging

    Donald Lien, Li Yang, Chunyang Zhou, Geul Lee

    págs. 1891-1908

    

  • Analytical Bounds for Treasury Bond Futures Prices

    Ren-Raw Chen, Shih-Kuo Yeh

    págs. 1909-1944

    

  • Rating Dynamics of Fallen Angels and Their Speculative Grade-Rated Peers: Static vs. Dynamic Approach

    Huong Dang

    págs. 1945-1982

    

  • Creation and Control of Bubbles: Managers Compensation Schemes, Risk Aversion, and Wealth and Short Sale Constraints

    James S. Ang, D. Diavatopoulos, Thomas V. Schwarz

    págs. 1983-2028

    

  • Range Volatility: A Review of Models and Empirical Studies

    Ray Yeutien Chou, Hengchih Chou, Nathan Liu

    págs. 2029-2050

    

  • Business Models: Applications to Capital Budgeting, Equity Value, and Return Attribution

    Thomas S.Y. Ho, Sang-Bin Lee

    págs. 2051-2075

    

  • VAR Models: Estimation, Inferences, and Applications

    Yangru Wu, Xing Zhou

    págs. 2077-2091

    

  • Model Selection for High-Dimensional Problems

    Wei Zhong, Zhan Shi, Jing-Zhi Huang

    págs. 2093-2118

    

  • Hedonic Regression Models

    Ben J. Sopranzetti

    págs. 2119-2134

    

  • Optimal Payout Ratio Under Uncertainty and the Flexibility Hypothesis: Theory and Empirical Evidence

    Cheng-Few Lee, M. Gupta, Hong-Yi Chen, Alice C. Lee

    págs. 2135-2176

    

  • Modeling Asset Returns with Skewness, Kurtosis, and Outliers

    Thomas C. Chiang, Jiandong Li

    págs. 2177-2215

    

  • Does Revenue Momentum Drive or Ride Earnings or Price Momentum?

    Hong-Yi Chen, Sheng-Syan Chen, Chin-Wen Hsin, Cheng-Few Lee

    págs. 2217-2261

    

  • A VG-NGARCH Model for Impacts of Extreme Events on Stock Returns

    Lie-Jane Kao, Li-Shya Chen, Cheng-Few Lee

    págs. 2263-2279

    

  • Risk-Averse Portfolio Optimization via Stochastic Dominance Constraints

    Andrzej Ruszczynski, Darinka Dentcheva

    págs. 2281-2302

    

  • Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type

    Jia-Hau Guo, Mao-Wei Hung

    págs. 2303-2315

    

  • Stochastic Change-Point Models of Asset Returns and Their Volatilities

    Tze Leung Lai, H. Xing

    págs. 2317-2335

    

  • CEO Stock Options and Analysts’ Forecast Accuracy and Bias

    Gerald J. Lobo, R. Mathieu, Kiridaran Kanagaretnam

    págs. 2321-2651

    

  • Unspanned Stochastic Volatilities and Interest Rate Derivatives Pricing

    Feng Zhao

    págs. 2337-2399

    

  • Alternative Equity Valuation Models

    Hong-Yi Chen, Wei-Kang Shih, Cheng-Few Lee

    págs. 2401-2444

    

  • Time Series Models to Predict the Net Asset Value (NAV) of an Asset Allocation Mutual Fund VWELX

    Kenneth Lawrence, Gary Kleinman, Sheila Lawrence

    págs. 2445-2460

    

  • Discriminant Analysis and Factor Analysis: Theory and Method

    Lie-Jane Kao, Tzu Tai, Cheng-Few Lee

    págs. 2461-2476

    

  • Implied Volatility: Theory and Empirical Method

    Tzu Tai, Cheng-Few Lee

    págs. 2477-2494

    

  • Measuring Credit Risk in a Factor Copula Model

    Jow-Ran Chang, An-Chi Chen

    págs. 2495-2517

    

  • Instantaneous Volatility Estimation by Nonparametric Fourier Transform Methods

    Chuan-Hsiang Han

    págs. 2519-2533

    

  • A Dynamic CAPM with Supply Effect Theory and Empirical Results

    Alice C. Lee, Chiung-Min Tsai, Cheng-Few Lee

    págs. 2535-2599

    

  • A Generalized Model for Optimum Futures Hedge Ratio

    Cheng-Few Lee, Jang-Yi Lee, K. Wang, Yuan-chung Sheu

    págs. 2561-2576

    

  • Instrumental Variables Approach to Correct for Endogeneity in Finance

    Chia-Jane Wang

    págs. 2577-2600

    

  • Application of Poisson Mixtures in the Estimation of Probability of Informed Trading

    Emily Lin, Cheng-Few Lee

    págs. 2601-2619

    

  • Option Pricing and Hedging Performance Under Stochastic Volatility and Stochastic Interest Rates

    Charles Cao, Gurdip Bakshi, Zhiwu Chen

    págs. 2653-2700

    

  • The Le Châtelier Principle of the Capital Market Equilibrium

    Chin W. Yang, Ken Hung, Matthew Brigida

    págs. 2701-2708