Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning:(In 4 Volumes)

Lee, Cheng Few; Lee, John C

Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning:(In 4 Volumes)

Edited by Cheng Few Lee and John C Lee

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.

Keywords: Financial Econometrics; Financial Mathematics; Financial Statistics; Financial Technology; Machine Learning; Covariance Regression; Cluster Effect; Option Bound; Dynamic Capital Budgeting; Big Data (search for similar items in EconPapers)
JEL-codes: C01 C1 G32 (search for similar items in EconPapers)
Date: 2020
ISBN: 9789811202384
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/worldscibooks/10.1142/11335 (text/html)
Ebook Access is available upon purchase

Chapters in this book:

Ch 1 Introduction to Financial Econometrics, Mathematics, Statistics, and Machine Learning , pp 1-99: Cheng Few Lee
Ch 2 Do Managers Use Earnings Forecasts to Fill a Demand They Perceive from Analysts? , pp 101-149: Orie Barron, Jian Cao, Xuguang Simon Sheng, Maya Thevenot and Baohua Xin
Ch 3 A Potential Benefit of Increasing Book–Tax Conformity: Evidence from the Reduction in Audit Fees , pp 151-197: Nan-Ting Kuo and Cheng Few Lee
Ch 4 Gold in Portfolio: A Long-Term or Short-Term Diversifier? , pp 199-223: Fu-Lai Lin, Sheng-Yung Yang and Yu-Fen Chen
Ch 5 Econometric Approach to Financial Analysis, Planning, and Forecasting , pp 225-274: Cheng Few Lee
Ch 6 Forecast Performance of the Taiwan Weighted Stock Index: Update and Expansion , pp 275-295: Deng-Yuan Ji, Hsiao-Yin Chen and Cheng Few Lee
Ch 7 Parametric, Semi-Parametric, and Non-Parametric Approaches for Option-Bound Determination: Review and Comparison , pp 297-334: Cheng Few Lee and Peter Guangping Zhang
Ch 8 Measuring the Collective Correlation of a Large Number of Stocks , pp 335-354: Wei-Fang Niu and Henry Horng-Shing Lu
Ch 9 Key Borrowers Detected by the Intensities of Their Interactions , pp 355-389: Fuad Aleskerov, Irina Andrievskaya, Alisa Nikitina and Sergey Shvydun
Ch 10 Application of the Multivariate Average F-Test to Examine Relative Performance of Asset Pricing Models with Individual Security Returns , pp 391-430: Shafiqur Rahman and Matthew J. Schneider
Ch 11 Hedge Ratio and Time Series Analysis , pp 431-483: Sheng-Syan Chen, Cheng Few Lee and Keshab Shresth
Ch 12 Application of Intertemporal CAPM on International Corporate Finance , pp 485-517: Jow-Ran Chang, Mao-Wei Hung and Cheng Few Lee
Ch 13 What Drives Variation in the International Diversification Benefits? A Cross-Country Analysis , pp 519-562: Wan-Jiun Paul Chiou and Kuntara Pukthuanthong
Ch 14 A Heteroskedastic Black–Litterman Portfolio Optimization Model with Views Derived from a Predictive Regression , pp 563-581: Wei-Hung Lin, Huei-Wen Teng and Chi-Chun Yang
Ch 15 Pricing Fair Deposit Insurance: Structural Model Approach , pp 583-602: Tzu Tai, Cheng Few Lee, Tian-Shyr Dai, Keh Luh Wang and Hong-Yi Chen
Ch 16 Application of Structural Equation Modeling in Behavioral Finance: A Study on the Disposition Effect , pp 603-626: Hsin-Hue Chang
Ch 17 External Financing Needs and Early Adoption of Accounting Standards: Evidence from the Banking Industry , pp 627-675: Sophia I-Ling Wang
Ch 18 Improving the Stock Market Prediction with Social Media via Broad Learning , pp 677-736: Xi Zhang and Philip S. Yu
Ch 19 Sourcing Alpha in Global Equity Markets: Market Factor Decomposition and Market Characteristics , pp 737-790: Subhransu S. Mohanty
Ch 20 Support Vector Machines Based Methodology for Credit Risk Analysis , pp 791-822: Jianping Li, Mingxi Liu, Cheng Few Lee and Dengsheng Wu
Ch 21 Data Mining Applications in Accounting and Finance Context , pp 823-857: Wikil Kwak, Yong Shi and Cheng Few Lee
Ch 22 Trade-off Between Reputation Concerns and Economic Dependence for Auditors — Threshold Regression Approach , pp 859-888: Fang-Chi Lin, Chin-Chen Chien, Cheng Few Lee, Hsuan-Chu Lin and Yu-Cheng Lin
Ch 23 ASEAN Economic Community: Analysis Based on Fractional Integration and Cointegration , pp 889-915: Luis Gil-Alana and Hector Carcel
Ch 24 Alternative Methods for Determining Option Bounds: A Review and Comparison , pp 917-945: Cheng Few Lee, Zhaodong Zhong, Tzu Tai and Hongwei Chuang
Ch 25 Financial Reforms and the Differential Impact of Foreign Versus Domestic Banking Relationships on Firm Value , pp 947-978: Hai-Chin Yu, Cheng Few Lee and Ben J. Sopranzetti
Ch 26 Time-Series Analysis: Components, Models, and Forecasting , pp 979-1024: Cheng Few Lee
Ch 27 Itô’s Calculus and the Derivation of the Black–Scholes Option-Pricing Model , pp 1025-1074: George Chalamandaris and Anastasios Malliaris
Ch 28 Durbin–Wu–Hausman Specification Tests , pp 1075-1108: Robert H. Patrick
Ch 29 Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession , pp 1109-1149: Jessica Schlossberg and Norman Swanson
Ch 30 Earnings Forecasts and Revisions, Price Momentum, and Fundamental Data: Further Explorations of Financial Anomalies , pp 1151-1209: John Guerard and Andrew Mark
Ch 31 Ranking Analysts by Network Structural Hole , pp 1211-1243: Re-Jin Guo, Yingda Lu and Lingling Xie
Ch 32 The Association Between Book-Tax Differences and CEO Compensation , pp 1245-1269: Kin-Wai Lee and Gillian Hian-Heng Yeo
Ch 33 Stochastic Volatility Models: Faking a Smile , pp 1271-1293: Dean Diavatopoulos and Oleg Sokolinskiy
Ch 34 Entropic Two-Asset Option , pp 1295-1344: Tumellano Sebehela
Ch 35 The Joint Determinants of Capital Structure and Stock Rate of Return: A LISREL Model Approach , pp 1345-1397: Hong-Yi Chen, Cheng Few Lee and Tzu Tai
Ch 36 Time-Frequency Wavelet Analysis of Stock-Market Co-Movement Between and Within Geographic Trading Blocs , pp 1399-1437: Bilel Kaffel and Fathi Abid
Ch 37 Alternative Methods to Deal with Measurement Error , pp 1439-1484: Hong-Yi Chen, Alice C. Lee and Cheng Few Lee
Ch 38 Simultaneously Capturing Multiple Dependence Features in Bank Risk Integration: A Mixture Copula Framework , pp 1485-1518: Xiaoqian Zhu, Jianping Li and Dengsheng Wu
Ch 39 GPU Acceleration for Computational Finance , pp 1519-1532: Chuan-Hsiang Han
Ch 40 Does VIX Truly Measure Return Volatility? , pp 1533-1559: K. Victor Chow, Wanjun Jiang and Jingrui Li
Ch 41 An ODE Approach for the Expected Discounted Penalty at Ruin in a Jump-Diffusion Model , pp 1561-1598: Yu-Ting Chen, Cheng Few Lee and Yuan-Chung Sheu
Ch 42 How Does Investor Sentiment Affect Implied Risk-Neutral Distributions of Call and Put Options? , pp 1599-1636: Wen-Ming Szu, Yi-Chen Wang and Wan-Ru Yang
Ch 43 Intelligent Portfolio Theory and Strength Investing in the Confluence of Business and Market Cycles and Sector and Location Rotations , pp 1637-1674: Heping Pan
Ch 44 Evolution Strategy-Based Adaptive Lq Penalty Support Vector Machines with Gauss Kernel for Credit Risk Analysis , pp 1675-1693: Jianping Li, Gang Li, Dongxia Sun and Cheng Few Lee
Ch 45 Product Market Competition and CEO Pay Benchmarking , pp 1695-1723: Ivan E. Brick and Darius Palia
Ch 46 Equilibrium Rate Analysis of Cash Conversion Systems: The Case of Corporate Subsidiaries , pp 1725-1762: Weiwei Chen, Benjamin Melamed, Oleg Sokolinskiy and Ben S. Sopranzetti
Ch 47 Is the Market Portfolio Mean–Variance Efficient? , pp 1763-1787: Robert Grauer
Ch 48 Consumption-Based Asset Pricing with Prospect Theory and Habit Formation , pp 1789-1819: Jr-Yan Wang and Mao-Wei Hung
Ch 49 An Integrated Model for the Cost-Minimizing Funding of Corporate Activities Over Time , pp 1821-1844: Manak C. Gupta
Ch 50 Empirical Studies of Structural Credit Risk Models and the Application in Default Prediction: Review and New Evidence , pp 1845-1901: Han-Hsing Lee, Ren-Raw Chen and Cheng Few Lee
Ch 51 Empirical Performance of the Constant Elasticity Variance Option Pricing Model , pp 1903-1942: Ren Raw Chen, Cheng Few Lee and Han-Hsing Lee
Ch 52 The Jump Behavior of a Foreign Exchange Market: Analysis of the Thai Baht , pp 1943-1968: Jow-Ran Chang, Mao-Wei Hung, Cheng Few Lee and Hsin-Min Lu
Ch 53 The Revision of Systematic Risk on Earnings Announcement in the Presence of Conditional Heteroscedasticity , pp 1969-1990: Chin-Chen Chien, Cheng Few Lee and She-Chih Chiu
Ch 54 Applications of Fuzzy Set to International Transfer Pricing and Other Business Decisions , pp 1991-2009: Wikil Kwak, Yong Shi, Heeseok Lee and Cheng Few Lee
Ch 55 A Time-Series Bootstrapping Simulation Method to Distinguish Sell-Side Analysts’ Skill from Luck , pp 2011-2052: Chen Su and Hanxiong Zhang
Ch 56 Acceptance of New Technologies by Employees in Financial Industry , pp 2053-2080: Veronika Belousova, Vasily Solodkov, Nikolai Chichkanov and Ekaterina Nikiforova
Ch 57 Alternative Method for Determining Industrial Bond Ratings: Theory and Empirical Evidence , pp 2081-2105: Lie-Jane Kao and Cheng Few Lee
Ch 58 An Empirical Investigation of the Long Memory Effect on the Relation of Downside Risk and Stock Returns , pp 2107-2140: Cathy Yi-Hsuan Chen and Thomas C. Chiang
Ch 59 Analysis of Sequential Conversions of Convertible Bonds: A Recurrent Survival Approach , pp 2141-2159: Lie-Jane Kao, Li-Shya Chen and Cheng Few Lee
Ch 60 Determinants of Euro-Area Bank CDS Spreads , pp 2161-2198: Maria-Eleni Agoraki, Dimitris Georgoutsos and George T. Moratis
Ch 61 Dynamic Term Structure Models Using Principal Components Analysis Near the Zero Lower Bound , pp 2199-2250: Januj Juneja
Ch 62 Effects of Measurement Errors on Systematic Risk and Performance Measure of a Portfolio , pp 2251-2263: Cheng Few Lee and Frank C. Jen
Ch 63 Forecasting Net Charge-Off Rates of Banks: A PLS Approach , pp 2265-2301: James Barth, Sunghoon Joo, Hyeongwoo Kim, Kang Bok Lee, Stevan Maglic and Xuan Shen
Ch 64 Application of Filtering Methods in Asset Pricing , pp 2303-2321: Hao Chang and Yangru Wu
Ch 65 Sampling Distribution of the Relative Risk Aversion Estimator: Theory and Applications , pp 2323-2335: Marvin J. Karson, David C. Cheng and Cheng Few Lee
Ch 66 Social Media, Bank Relationships and Firm Value , pp 2337-2371: Chia-Hui Chao and Hai-Chin Yu
Ch 67 Splines, Heat, and IPOs: Advances in the Measurement of Aggregate IPO Issuance and Performance , pp 2373-2397: Zachary A. Smith, Mazin A. M. Al Janabi and Muhammad Z. Mumtaz
Ch 68 The Effects of the Sample Size, the Investment Horizon and the Market Conditions on the Validity of Composite Performance Measures: A Generalization , pp 2399-2418: Son-Nan Chen and Cheng Few Lee
Ch 69 The Sampling Relationship Between Sharpe’s Performance Measure and its Risk Proxy: Sample Size, Investment Horizon and Market Conditions , pp 2419-2435: Son-Nan Chen and Cheng Few Lee
Ch 70 VG NGARCH Versus GARJI Model for Asset Price Dynamics , pp 2437-2459: Lie-Jane Kao and Cheng Few Lee
Ch 71 Why do Smartphone and Tablet Users Adopt Mobile Banking? , pp 2461-2483: Veronika Belousova and Nikolai Chichkanov
Ch 72 Non-Parametric Inference on Risk Measures for Integrated Returns , pp 2485-2497: Henghsiu Tsai, Hwai-Chung Ho and Hung-Yin Chen
Ch 73 Copulas and Tail Dependence in Finance , pp 2499-2524: Wing-Choong Lai and Kim-Leng Goh
Ch 74 Some Improved Estimators of Maximum Squared Sharpe Ratio , pp 2525-2545: Siu Kai Choy and Bu-qing Yang
Ch 75 Errors-in-Variables and Reverse Regression , pp 2547-2563: Shafiqur Rahman and Cheng Few Lee
Ch 76 The Role of Financial Advisors in M&As: Do Domestic and Foreign Advisors Differ? , pp 2565-2597: Kai-Shi Chuang
Ch 77 Discriminant Analysis, Factor Analysis, and Principal Component Analysis: Theory, Method, and Applications , pp 2599-2633: Cheng Few Lee
Ch 78 Credit Analysis, Bond Rating Forecasting, and Default Probability Estimation , pp 2635-2671: Cheng Few Lee
Ch 79 Market Model, CAPM, and Beta Forecasting , pp 2673-2711: Cheng Few Lee
Ch 80 Utility Theory, Capital Asset Allocation, and Markowitz Portfolio-Selection Model , pp 2713-2756: Cheng Few Lee
Ch 81 Single-Index Model, Multiple-Index Model, and Portfolio Selection , pp 2757-2799: Cheng Few Lee
Ch 82 Sharpe Performance Measure and Treynor Performance Measure Approach to Portfolio Analysis , pp 2801-2838: Paul Chiou and Cheng Few Lee
Ch 83 Options and Option Strategies: Theory and Empirical Results , pp 2839-2884: Cheng Few Lee
Ch 84 Decision Tree and Microsoft Excel Approach for Option Pricing Model , pp 2885-2927: Jow-Ran Chang and John Lee
Ch 85 Statistical Distributions, European Option, American Option, and Option Bounds , pp 2929-2964: Cheng Few Lee
Ch 86 A Comparative Static Analysis Approach to Derive Greek Letters: Theory and Applications , pp 2965-2999: Cheng Few Lee and Yuanyuan Xiao
Ch 87 Fundamental Analysis, Technical Analysis, and Mutual Fund Performance , pp 3001-3058: Cheng Few Lee
Ch 88 Bond Portfolio Management, Swap Strategy, Duration, and Convexity , pp 3059-3098: Cheng Few Lee
Ch 89 Synthetic Options, Portfolio Insurance, and Contingent Immunization , pp 3099-3141: Cheng Few Lee
Ch 90 Alternative Security Valuation Model: Theory and Empirical Results , pp 3143-3192: Cheng Few Lee
Ch 91 Opacity, Stale Pricing, Extreme Bounds Analysis, and Hedge Fund Performance: Making Sense of Reported Hedge Fund Returns , pp 3193-3217: Zachary A. Smith, Mazin A. M. Al Janabi and Muhammad Z. Mumtaz
Ch 92 Does Quantile Co-Integration Exist Between Gold Spot and Futures Prices? , pp 3219-3239: Hai-Chin Yu, Chia-Ju Lee and Hsieh Der-Tzon
Ch 93 Bayesian Portfolio Mean–Variance Efficiency Test with Sharpe Ratio’s Sampling Error , pp 3241-3261: Lie-Jane Kao, Huei Ching Soo and Cheng Few Lee
Ch 94 Does Revenue Momentum Drive or Ride Earnings or Price Momentum? , pp 3263-3318: Hong-Yi Chen, Sheng-Syan Chen, Chin-Wen Hsin and Cheng Few Lee
Ch 95 Technical, Fundamental, and Combined Information for Separating Winners from Losers , pp 3319-3365: Hong-Yi Chen, Cheng Few Lee and Wei-Kang Shih
Ch 96 Optimal Payout Ratio Under Uncertainty and the Flexibility Hypothesis: Theory and Empirical Evidence , pp 3367-3412: Cheng Few Lee, Manak C. Gupta, Hong-Yi Chen and Alice C. Lee
Ch 97 Sustainable Growth Rate, Optimal Growth Rate, and Optimal Payout Ratio: A Joint Optimization Approach , pp 3413-3464: Hong-Yi Chen, Manak C. Gupta, Alice C. Lee and Cheng Few Lee
Ch 98 Cross-Sectionally Correlated Measurement Errors in Two-Pass Regression Tests of Asset-Pricing Models , pp 3465-3489: Thomas Gramespacher, Armin Bänziger and Norbert Hilber
Ch 99 Asset Pricing with Disequilibrium Price Adjustment: Theory and Empirical Evidence , pp 3491-3516: Cheng Few Lee, Chiung-Min Tsai and Alice C. Lee
Ch 100 A Dynamic CAPM with Supply Effect: Theory and Empirical Results , pp 3517-3544: Cheng Few Lee, Chiung-Min Tsai and Alice C. Lee
Ch 101 Estimation Procedures of Using Five Alternative Machine Learning Methods for Predicting Credit Card Default , pp 3545-3572: Huei-Wen Teng and Michael Lee
Ch 102 Alternative Methods to Derive Option Pricing Models: Review and Comparison , pp 3573-3617: Cheng Few Lee, Yibing Chen and John Lee
Ch 103 Option Price and Stock Market Momentum in China , pp 3619-3647: Jianping Li, Yanzhen Yao, Yibing Chen and Cheng Few Lee
Ch 104 Advancement of Optimal Portfolio Models with Short-Sales and Transaction Costs: Methodology and Effectiveness , pp 3649-3674: Wan-Jiun Paul Chiou and Jing-Rung Yu
Ch 105 The Path Leading up to the New IFRS 16 Leasing Standard: How was the Restructuring of Lease Accounting Received by Different Advocacy Groups? , pp 3675-3702: Christian Blecher and Stephanie Kruse
Ch 106 Implied Variance Estimates for Black–Scholes and CEV OPM: Review and Comparison , pp 3703-3736: Cheng Few Lee, Yibing Chen and John Lee
Ch 107 Crisis Impact on Stock Market Predictability , pp 3737-3751: Rajesh Mohnot
Ch 108 How Many Good and Bad Funds are There, Really? , pp 3753-3827: Wayne Ferson and Yong Chen
Ch 109 Constant Elasticity of Variance Option Pricing Model: Integration and Detailed Derivation , pp 3829-3847: Y. L. Hsu, T. L. Lin and Cheng Few Lee
Ch 110 An Integral Equation Approach for Bond Prices with Applications to Credit Spreads , pp 3849-3866: Yu-Ting Chen, Cheng Few Lee and Yuan-Chung Sheu
Ch 111 Sample Selection Issues and Applications , pp 3867-3885: Hwei-Lin Chuang and Shih-Yung Chiu
Ch 112 Time Series and Neural Network Analysis , pp 3887-3931: K. C. Tseng, Ojoung Kwon and Luna C. Tjung
Ch 113 Covariance Regression Model for Non-Normal Data , pp 3933-3945: Tao Zou, Ronghua Luo, Wei Lan and Chih-Ling Tsai
Ch 114 Impacts of Time Aggregation on Beta Value and R2 Estimations Under Additive and Multiplicative Assumptions: Theoretical Results and Empirical Evidence , pp 3947-3984: Yuanyuan Xiao, Yushan Tang and Cheng Few Lee
Ch 115 Large-Sample Theory , pp 3985-3999: Sunil Poshakwale and Anandadeep Mandal
Ch 116 Impacts of Measurement Errors on Simultaneous Equation Estimation of Dividend and Investment Decisions , pp 4001-4023: Cheng Few Lee and Fu-Lai Lin
Ch 117 Big Data and Artificial Intelligence in the Banking Industry , pp 4025-4041: T. Robert Yu and Xuehu Song
Ch 118 A Non-Parametric Examination of Emerging Equity Markets Financial Integration , pp 4043-4074: Ke Yang, Susan Wahab, Bharat Kolluri and Mahmoud Wahab
Ch 119 Algorithmic Analyst (ALAN) — An Application for Artificial Intelligence Content as a Service , pp 4075-4086: Ted Hong, Daniel Lee and Wenching Wang
Ch 120 Survival Analysis: Theory and Application in Finance , pp 4087-4118: Feng Gao and Xiaomin He
Ch 121 Pricing Liquidity in the Stock Market , pp 4119-4148: Ding Du and Ou Hu
Ch 122 The Evolution of Capital Asset Pricing Models: Update and Extension , pp 4149-4207: Yi-Cheng Shih, Sheng-Syan Chen, Cheng Few Lee and Po-Jung Chen
Ch 123 The Multivariate GARCH Model and its Application to East Asian Financial Market Integration , pp 4209-4254: Yoshihiko Tsukuda, Junji Shimada and Tatsuyoshi Miyakoshi
Ch 124 Review of Difference-in-Difference Analyses in Social Sciences: Application in Policy Test Research , pp 4255-4280: William H. Greene and Min (Shirley) Liu
Ch 125 Using Smooth Transition Regressions to Model Risk Regimes , pp 4281-4311: Liam Gallagher, Mark C. Hutchinson and John O’Brien
Ch 126 Application of Discriminant Analysis, Factor Analysis, Logistic Regression, and KMV-Merton Model in Credit Risk Analysis , pp 4313-4348: Cheng Few Lee and Hai-Chin Yu
Ch 127 Predicting Credit Card Delinquencies: An Application of Deep Neural Networks , pp 4349-4381: Ting Sun and Miklos A. Vasarhalyi
Ch 128 Estimating the Tax-Timing Option Value of Corporate Bonds , pp 4383-4419: Peter Huaiyu Chen, Sheen Liu and Chunchi Wu
Ch 129 DCC-GARCH Model for Market and Firm-Level Dynamic Correlation in S&P 500 , pp 4421-4440: Peimin Chen, Chunchi Wu and Ying Zhang
Ch 130 Using Path Analysis to Integrate Accounting and Non-Financial Information: The Case for Revenue Drivers of Internet Stocks , pp 4441-4472: Anthony Kozberg
Ch 131 The Implications of Regulation in the Community Banking Sector: Risk and Competition , pp 4473-4507: Gregory McKee and Albert Kagan

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