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Handbook of research methods and applications in empirical finance , edited by Adrian R. Bell, Chris Brooks and Marcel Prokopczuk

Cheltenham Northampton, Mass. , E. Elgar -- cop. 2013

1 vol. (XII-481 p.) : ill., couv. ill. en coul. ; 25 cm

Handbook of research methods and applications

978-0-85793-608-0 , hbk.

0-85793-608-5 , hbk.

Réf. bibliogr. en fin de chapitres. Notes bibliogr. Index

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.--Résumé de l'éditeur

pt. 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 Kalsaris ; pt. 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 ; pt. 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 ; pt. IV. Corporate finance ; 12. Empirical mergers and acquisitions research: a review of methods, evidence and managerial implications / Audrey 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 ; pt. 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 / Olan T. Henry, Nilss Olekalns and Kalvinder K. Shields

Mathématiques financières

Finances -- Modèles mathématiques

Recherche quantitative

Finance -- Research

Finance -- Mathematical models.

Quantitative research

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