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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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.
Contents: Preface PART I: ASSET PRICING AND INVESTMENTS 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 PART II: DERIVATIVES 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 PART III: BANKING AND MICROSTRUCTURE 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 PART IV: CORPORATE FINANCE 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 PART V: RISK MODELLING 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 Index
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Produktdetaljer

ISBN
9781782540175
Publisert
2014-10-31
Utgiver
Vendor
Edward Elgar Publishing Ltd
Høyde
244 mm
Bredde
169 mm
Aldersnivå
UP, 05
Språk
Product language
Engelsk
Format
Product format
Heftet
Antall sider
504

Biographical note

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