Handbook of Research Methods and Applications in Empirical Finance

Edited by Adrian Bell, Chris Brooks and Marcel Prokopczuk ()

in Books from Edward Elgar Publishing

Abstract: 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.

Keywords: Economics and Finance; Research Methods (search for similar items in EconPapers)
JEL-codes: B4 (search for similar items in EconPapers)
Date: 2013
ISBN: 9780857936080
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (38)

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Chapters in this book:

Ch 1 Markov switching models in asset pricing research , pp 3-44

Massimo Guidolin

Ch 2 Portfolio optimization: theory and practical implementation , pp 45-72

William T. Ziemba

Ch 3 Testing for speculative bubbles in asset prices , pp 73-94

Keith Anderson, Chris Brooks and Apostolos Katsaris

Ch 4 Estimating term structure models with the Kalman filter , pp 97-113

Marcel Prokopczuk and Yingying Wu

Ch 5 American option pricing using simulation with an application to the GARCH model , pp 114-147

Lars Stentoft

Ch 6 Derivatives pricing with affine models and numerical implementation , pp 148-168

Ke Chen and Ser-Huang Poon

Ch 7 Markov Chain Monte Carlo with particle filtering , pp 169-194

Yongwoong Lee and Ser-Huang Poon

Ch 8 Competition in banking: measurement and interpretation , pp 197-215

Hong Liu, Philip Molyneux and John Wilson

Ch 9 Using heteroskedastic models to analyze the use of rules versus discretion in lending decisions , pp 216-237

Geraldo Cerqueiro, Hans Degryse and Steven Ongena

Ch 10 Liquidity measures , pp 238-255

Thomas Johann and Erik Theissen

Ch 11 Testing for contagion: the impact of US structured markets on international financial markets , pp 256-284

Woon Sau Leung and Nick Taylor

Ch 12 Empirical mergers and acquisitions research: a review of methods, evidence and managerial implications , pp 287-313

Andrey Golubov, Dimitris Petmezas and Nickolaos G. Travlos

Ch 13 The construction and valuation effect of corporate governance indices , pp 314-340

Manuel Ammann, David Oesch and Markus Schmid

Ch 14 Does hedging reduce economic exposure? Hurricanes, jet fuel prices and airlines , pp 341-354

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

Ch 15 Quantifying the uncertainty in VaR and expected shortfall estimates , pp 357-372

Silvia Stanescu and Radu Tunaru

Ch 16 Econometric modeling of exchange rate volatility and jumps , pp 373-427

Deniz Erdemlioglu, Sébastien Laurent and Christopher Neely

Ch 17 Predicting financial distress of companies: revisiting the Z-Score and ZETA® models , pp 428-456

Edward Altman

Ch 18 Quantifying time variation and asymmetry in measures of covariance risk: a simulation approach , pp 457-476

Ólan Henry, Nilss Olekalns and Kalvinder Shields

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Persistent link: https://EconPapers.repec.org/RePEc:elg:eebook:14545

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