Handbook of Research Methods and Applications in Empirical Finance

Handbook of Research Methods and Applications in Empirical Finance


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This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples.

Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered.

The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.

Contributors: E.I. Altman, M. Ammann, K. Anderson, A.R. Bell, C. Brooks, D.A. Carter, G. Cerqueiro, K. Chen, H. Degryse, D. Erdemlioglu, A. Golubov, M. Guidolin, Ó.T. Henry, T. Johann, A. Katsaris, S. Laurent, Y. Lee, W.S. Leung, H. Liu, P. Molyneux, C.J. Neely, D. Oesch, N. Olekalns, S. Ongena, D. Petmezas, S.-H. Poon, M. Prokopczuk, D.A. Rogers, M. Schmid, K.K. Shields, B.J. Simkins, S. Stanescu, L. Stentoft, N. Taylor, E. Theissen, N.G. Travlos, S.D. Treanor, R. Tunaru, J.O.S. Wilson, Y. Wu, W.T. Ziemba

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Product Details

ISBN-13: 9781782540175
Publisher: Edward Elgar Publishing
Publication date: 12/14/2014
Pages: 504
Product dimensions: 6.60(w) x 9.50(h) x 1.10(d)

About the Author

Edited by Adrian R. Bell, University of Reading, UK, Chris Brooks, University of Reading, UK and Marcel Prokopczuk, Leibniz University Hannover, Germany

Table of Contents




1. Markov Switching Models in Asset Pricing Research

Massimo Guidolin

2. Portfolio Optimization: Theory and Practical Implementation

William T. Ziemba

3. Testing for Speculative Bubbles in Asset Prices

Keith Anderson, Chris Brooks and Apostolos Katsaris


4. Estimating Term Structure Models with the Kalman Filter

Marcel Prokopczuk and Yingying Wu

5. American Option Pricing Using Simulation with an Application to the GARCH Model

Lars Stentoft

6. Derivatives Pricing with Affine Models and Numerical Implementation

Ke Chen and Ser-Huang Poon

7. Markov Chain Monte Carlo with Particle Filtering

Yongwoong Lee and Ser-Huang Poon


8. Competition in Banking: Measurement and Interpretation

Hong Liu, Phil Molyneux and John O.S. Wilson

9. Using Heteroskedastic Models to Analyze the Use of Rules versus Discretion in Lending Decisions

Geraldo Cerqueiro, Hans Degryse and Steven Ongena

10. Liquidity Measures

Thomas Johann and Erik Theissen

11. Testing for Contagion: The Impact of US Structured Markets on International Financial Markets

Woon Sau Leung and Nicholas Taylor


12. Empirical Mergers and Acquisitions Research: A Review of Methods, Evidence and Managerial Implications

Andrey Golubov, Dimitris Petmezas and Nickolaos G. Travlos

13. The Construction and Valuation Effect of Corporate Governance Indices

Manuel Ammann, David Oesch and Markus Schmid

14. Does Hedging Reduce Economic Exposure? Hurricanes, Jet Fuel Prices and Airlines

David A. Carter, Daniel A. Rogers, Betty J. Simkins and Stephen D. Treanor


15. Quantifying the Uncertainty in VaR and Expected Shortfall Estimates

Silvia Stanescu and Radu Tunaru

16. Econometric Modeling of Exchange Rate Volatility and Jumps

Deniz Erdemlioglu, Sébastien Laurent and Christopher J. Neely

17. Predicting Financial Distress of Companies: Revisiting the Z-Score and ZETA® Models

Edward I. Altman

18. Quantifying Time Variation and Asymmetry in Measures of Covariance Risk: A Simulation Approach

Ólan T. Henry, Nilss Olekalns and Kalvinder K. Shields


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