European University Institute Library

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

eng

Includes bibliographical references and index

illustrations

index present

non fiction

Handbook of research methods and applications in empirical finance

bibliography

822959426

edited by Adrian R. Bell, Chris Brooks and Marcel Prokopczuk

Handbooks of research methods and applications

This impressive handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examplesThe objective of this book is to present the quantitative techniques that are commonly employed in empirical finance research together with real world, state of the art research examples. Each chapter is written by international experts in their fields. The unique approach is to describe a question or issue in finance and then to demonstrate 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. This book 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 --, Provided by Publisher

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 / Apostolos Kalsaris -- pt. II DERIVATIVES -- 4.Estimating term structure models with the Kalman filter / 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 / Ser-Huang Poon -- 7.Markov Chain Monte Carlo with particle filtering / Ser-Huang Poon -- pt. III BANKING AND MICROSTRUCTURE -- 8.Competition in banking: measurement and interpretation / John O. S. Wilson -- 9.Using heteroskedastic models to analyze the use of rules versus discretion in lending decisions / Steven Ongena -- 10.Liquidity measures / Erik Theissen --11.Testing for contagion: the impact of US structured markets on international financial markets / Nicholas Taylor -- pt. IV CORPORATE FINANCE -- 12.Empirical mergers and acquisitions research: a review of methods, evidence and managerial implications / Nickolaos G. Travlos -- 13.The construction and valuation effect of corporate governance indices / Markus Schmid -- 14.Does hedging reduce economic exposure? Hurricanes, jet fuel prices and airlines / Stephen D. Treanor -- pt. V RISK MODELLING -- 15.Quantifying the uncertainty in VaR and expected shortfall estimates / Radu Tunaru -- 16.Econometric modeling of exchange rate volatility and jumps / 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 / Kalvinder K. Shields