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Handbook of Financial Econometrics and Statistics

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Cover of 'Handbook of Financial Econometrics and Statistics'

Table of Contents

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    Book Overview
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    Chapter 1 Introduction to Financial Econometrics and Statistics
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    Chapter 2 Experience, Information Asymmetry, and Rational Forecast Bias
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    Chapter 3 An Appraisal of Modeling Dimensions for Performance Appraisal of Global Mutual Funds
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    Chapter 4 Simulation as a Research Tool for Market Architects
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    Chapter 5 Motivations for Issuing Putable Debt: An Empirical Analysis
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    Chapter 6 Multi-Risk Premia Model of US Bank Returns: An Integration of CAPM and APT
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    Chapter 7 Nonparametric Bounds for European Option Prices
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    Chapter 8 Can Time-Varying Copulas Improve the Mean-Variance Portfolio?
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    Chapter 9 Determinations of Corporate Earnings Forecast Accuracy: Taiwan Market Experience
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    Chapter 10 Market-Based Accounting Research (MBAR) Models: A Test of ARIMAX Modeling
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    Chapter 11 An Assessment of Copula Functions Approach in Conjunction with Factor Model in Portfolio Credit Risk Management
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    Chapter 12 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
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    Chapter 13 Does Banking Capital Reduce Risk? An Application of Stochastic Frontier Analysis and GMM Approach
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    Chapter 14 Evaluating Long-Horizon Event Study Methodology
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    Chapter 15 The Effect of Unexpected Volatility Shocks on Intertemporal Risk-Return Relation
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    Chapter 16 Combinatorial Methods for Constructing Credit Risk Ratings
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    Chapter 17 Dynamic Interactions Between Institutional Investors and the Taiwan Stock Returns: One-Regime and Threshold VAR Models
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    Chapter 18 Methods of Denoising Financial Data
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    Chapter 19 Analysis of Financial Time Series Using Wavelet Methods
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    Chapter 20 Composite Goodness-of-Fit Tests for Left-Truncated Loss Samples
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    Chapter 21 Effect of Merger on the Credit Rating and Performance of Taiwan Security Firms
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    Chapter 22 On-/Off-the-Run Yield Spread Puzzle: Evidence from Chinese Treasury Markets
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    Chapter 23 Factor Copula for Defaultable Basket Credit Derivatives
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    Chapter 24 Panel Data Analysis and Bootstrapping: Application to China Mutual Funds
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    Chapter 25 Market Segmentation and Pricing of Closed-End Country Funds: An Empirical Analysis
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    Chapter 26 A Comparison of Portfolios Using Different Risk Measurements
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    Chapter 27 Using Alternative Models and a Combining Technique in Credit Rating Forecasting: An Empirical Study
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    Chapter 28 Can We Use the CAPM as an Investment Strategy?: An Intuitive CAPM and Efficiency Test
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    Chapter 29 Group Decision-Making Tools for Managerial Accounting and Finance Applications
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    Chapter 30 Statistics Methods Applied in Employee Stock Options
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    Chapter 31 Structural Change and Monitoring Tests
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    Chapter 32 Consequences for Option Pricing of a Long Memory in Volatility
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    Chapter 33 Seasonal Aspects of Australian Electricity Market
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    Chapter 34 Pricing Commercial Timberland Returns in the United States
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    Chapter 35 Optimal Orthogonal Portfolios with Conditioning Information
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    Chapter 36 Multifactor, Multi-indicator Approach to Asset Pricing: Method and Empirical Evidence
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    Chapter 37 Binomial OPM, Black–Scholes OPM, and Their Relationship: Decision Tree and Microsoft Excel Approach
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    Chapter 38 Dividend Payments and Share Repurchases of US Firms: An Econometric Approach
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    Chapter 39 Term Structure Modeling and Forecasting Using the Nelson-Siegel Model
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    Chapter 40 The Intertemporal Relation Between Expected Return and Risk on Currency
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    Chapter 41 Quantile Regression and Value at Risk
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    Chapter 42 Earnings Quality and Board Structure: Evidence from South East Asia
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    Chapter 43 Rationality and Heterogeneity of Survey Forecasts of the Yen-Dollar Exchange Rate: A Reexamination
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    Chapter 44 Stochastic Volatility Structures and Intraday Asset Price Dynamics
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    Chapter 45 Optimal Asset Allocation Under VaR Criterion: Taiwan Stock Market
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    Chapter 46 Alternative Methods for Estimating Firm’s Growth Rate
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    Chapter 47 The Le Châtelier Principle of the Capital Market Equilibrium
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    Chapter 48 A Quasi-Maximum Likelihood Estimation Strategy for Value-at-Risk Forecasting: Application to Equity Index Futures Markets
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    Chapter 49 Computer Technology for Financial Service
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    Chapter 50 Long-Run Stock Return and the Statistical Inference
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    Chapter 51 Value-at-Risk Estimation via a Semi-parametric Approach: Evidence from the Stock Markets
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    Chapter 52 Modeling Multiple Asset Returns by a Time-Varying t Copula Model
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    Chapter 53 Internet Bubble Examination with Mean-Variance Ratio
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    Chapter 54 Quantile Regression in Risk Calibration
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    Chapter 55 Strike Prices of Options for Overconfident Executives
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    Chapter 56 Density and Conditional Distribution-Based Specification Analysis
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    Chapter 57 Assessing the Performance of Estimators Dealing with Measurement Errors
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    Chapter 58 Realized Distributions of Dynamic Conditional Correlation and Volatility Thresholds in the Crude Oil, Gold, and Dollar/Pound Currency Markets
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    Chapter 59 Pre-IT Policy, Post-IT Policy, and the Real Sphere in Turkey
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    Chapter 60 Determination of Capital Structure: A LISREL Model Approach
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    Chapter 61 Evidence on Earning Management by Integrated Oil and Gas Companies
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    Chapter 62 A Comparative Study of Two Models SV with MCMC Algorithm
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    Chapter 63 Internal Control Material Weakness, Analysts Accuracy and Bias, and Brokerage Reputation
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    Chapter 64 What Increases Banks Vulnerability to Financial Crisis: Short-Term Financing or Illiquid Assets?
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    Chapter 65 Accurate Formulas for Evaluating Barrier Options with Dividends Payout and the Application in Credit Risk Valuation
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    Chapter 66 Pension Funds: Financial Econometrics on the Herding Phenomenon in Spain and the United Kingdom
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    Chapter 67 Estimating the Correlation of Asset Returns: A Quantile Dependence Perspective
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    Chapter 68 Multi-criteria Decision Making for Evaluating Mutual Funds Investment Strategies
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    Chapter 69 Econometric Analysis of Currency Carry Trade
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    Chapter 70 Evaluating the Effectiveness of Futures Hedging
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    Chapter 71 Analytical Bounds for Treasury Bond Futures Prices
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    Chapter 72 Rating Dynamics of Fallen Angels and Their Speculative Grade-Rated Peers: Static vs. Dynamic Approach
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    Chapter 73 Creation and Control of Bubbles: Managers Compensation Schemes, Risk Aversion, and Wealth and Short Sale Constraints
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    Chapter 74 Range Volatility: A Review of Models and Empirical Studies
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    Chapter 75 Business Models: Applications to Capital Budgeting, Equity Value, and Return Attribution
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    Chapter 76 VAR Models: Estimation, Inferences, and Applications
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    Chapter 77 Model Selection for High-Dimensional Problems
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    Chapter 78 Hedonic Regression Models
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    Chapter 79 Optimal Payout Ratio Under Uncertainty and the Flexibility Hypothesis: Theory and Empirical Evidence
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    Chapter 80 Modeling Asset Returns with Skewness, Kurtosis, and Outliers
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    Chapter 81 Does Revenue Momentum Drive or Ride Earnings or Price Momentum?
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    Chapter 82 A VG-NGARCH Model for Impacts of Extreme Events on Stock Returns
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    Chapter 83 Risk-Averse Portfolio Optimization via Stochastic Dominance Constraints
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    Chapter 84 Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type
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    Chapter 85 Stochastic Change-Point Models of Asset Returns and Their Volatilities
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    Chapter 86 Unspanned Stochastic Volatilities and Interest Rate Derivatives Pricing
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    Chapter 87 Alternative Equity Valuation Models
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    Chapter 88 Time Series Models to Predict the Net Asset Value (NAV) of an Asset Allocation Mutual Fund VWELX
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    Chapter 89 Discriminant Analysis and Factor Analysis: Theory and Method
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    Chapter 90 Implied Volatility: Theory and Empirical Method
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    Chapter 91 Measuring Credit Risk in a Factor Copula Model
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    Chapter 92 Instantaneous Volatility Estimation by Nonparametric Fourier Transform Methods
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    Chapter 93 A Dynamic CAPM with Supply Effect Theory and Empirical Results
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    Chapter 94 A Generalized Model for Optimum Futures Hedge Ratio
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    Chapter 95 Instrumental Variables Approach to Correct for Endogeneity in Finance
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    Chapter 96 Application of Poisson Mixtures in the Estimation of Probability of Informed Trading
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    Chapter 97 CEO Stock Options and Analysts’ Forecast Accuracy and Bias
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    Chapter 98 Option Pricing and Hedging Performance Under Stochastic Volatility and Stochastic Interest Rates
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    Chapter 99 Econometric Measures of Liquidity
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Title
Handbook of Financial Econometrics and Statistics
Published by
Springer-Verlag New York, January 2015
DOI 10.1007/978-1-4614-7750-1
ISBNs
978-1-4614-7751-8, 978-1-4614-7750-1, 978-1-4614-7749-5
Editors

Cheng-Few Lee, John C. Lee

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Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 46 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Unknown 46 100%

Demographic breakdown

Readers by professional status Count As %
Student > Master 8 17%
Student > Ph. D. Student 8 17%
Student > Bachelor 4 9%
Researcher 4 9%
Lecturer 2 4%
Other 4 9%
Unknown 16 35%
Readers by discipline Count As %
Economics, Econometrics and Finance 14 30%
Business, Management and Accounting 7 15%
Social Sciences 2 4%
Computer Science 1 2%
Mathematics 1 2%
Other 1 2%
Unknown 20 43%