Handbook of Research Methods and Applications in Empirical Finance by Adrian R.

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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.

FORMATPaperback LANGUAGEEnglish CONDITIONBrand New Publisher Description

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

Author Biography

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

Table of Contents

Contents:PrefacePART I: ASSET PRICING AND INVESTMENTS1. Markov Switching Models in Asset Pricing ResearchMassimo Guidolin2. Portfolio Optimization: Theory and Practical ImplementationWilliam T. Ziemba3. Testing for Speculative Bubbles in Asset PricesKeith Anderson, Chris Brooks and Apostolos KatsarisPART II: DERIVATIVES4. Estimating Term Structure Models with the Kalman FilterMarcel Prokopczuk and Yingying Wu5. American Option Pricing Using Simulation with an Application to the GARCH ModelLars Stentoft6. Derivatives Pricing with Affine Models and Numerical ImplementationKe Chen and Ser-Huang Poon7. Markov Chain Monte Carlo with Particle FilteringYongwoong Lee and Ser-Huang PoonPART III: BANKING AND MICROSTRUCTURE8. Competition in Banking: Measurement and InterpretationHong Liu, Phil Molyneux and John O.S. Wilson9. Using Heteroskedastic Models to Analyze the Use of Rules versus Discretion in Lending DecisionsGeraldo Cerqueiro, Hans Degryse and Steven Ongena10. Liquidity MeasuresThomas Johann and Erik Theissen11. Testing for Contagion: The Impact of US Structured Markets on International Financial MarketsWoon Sau Leung and Nicholas TaylorPART IV: CORPORATE FINANCE12. Empirical Mergers and Acquisitions Research: A Review of Methods, Evidence and Managerial ImplicationsAndrey Golubov, Dimitris Petmezas and Nickolaos G. Travlos13. The Construction and Valuation Effect of Corporate Governance IndicesManuel Ammann, David Oesch and Markus Schmid14. Does Hedging Reduce Economic Exposure? Hurricanes, Jet Fuel Prices and AirlinesDavid A. Carter, Daniel A. Rogers, Betty J. Simkins and Stephen D. TreanorPART V: RISK MODELLING15. Quantifying the Uncertainty in VaR and Expected Shortfall EstimatesSilvia Stanescu and Radu Tunaru16. Econometric Modeling of Exchange Rate Volatility and JumpsDeniz Erdemlioglu, Sébastien Laurent and Christopher J. Neely17. Predicting Financial Distress of Companies: Revisiting the Z-Score and ZETA® ModelsEdward I. Altman18. Quantifying Time Variation and Asymmetry in Measures of Covariance Risk: A Simulation ApproachÓlan T. Henry, Nilss Olekalns and Kalvinder K. ShieldsIndex

Details ISBN1782540172 Author Marcel Prokopczuk Pages 504 Publisher Edward Elgar Publishing Ltd ISBN-10 1782540172 ISBN-13 9781782540175 Publication Date 2014-10-31 Language English Year 2014 Format Paperback Imprint Edward Elgar Publishing Ltd Place of Publication Cheltenham Country of Publication United Kingdom AU Release Date 2014-10-31 NZ Release Date 2014-10-31 UK Release Date 2014-10-31 Series Handbooks of Research Methods and Applications series Edited by Marcel Prokopczuk DEWEY 332.642 Audience Postgraduate, Research & Scholarly We've got this

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