Handbook of Research Methods and Applications in Empirical Finance

Adrian R. Bell, Chris Brooks, Marcel Prokopczuk (Herausgeber)

Buch | Hardcover

504 Seiten

2013
Edward Elgar Publishing Ltd (Verlag)
978-0-85793-608-0 (ISBN)

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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.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

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

Contents:

Preface

PART 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 Katsaris

PART 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

PART 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

PART IV: CORPORATE FINANCE
12. Empirical Mergers and Acquisitions Research: A Review of Methods, Evidence and Managerial Implications
Andrey 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

PART 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
Ólan T. Henry, Nilss Olekalns and Kalvinder K. Shields

Index

Erscheint lt. Verlag	30.4.2013
Reihe/Serie	Handbooks of Research Methods and Applications series
Verlagsort	Cheltenham
Sprache	englisch
Maße	169 x 244 mm
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
ISBN-10	0-85793-608-5 / 0857936085
ISBN-13	978-0-85793-608-0 / 9780857936080
Zustand	Neuware