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E-raamat: Handbook of Research Methods and Applications in Empirical Finance

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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
List of contributors
vii
Preface x
Part I Asset Pricing And Investments
1 Markov switching models in asset pricing research
3(42)
Massimo Guidolin
2 Portfolio optimization: theory and practical implementation
45(28)
William T. Ziemba
3 Testing for speculative bubbles in asset prices
73(24)
Keith Anderson
Chris Brooks
Apostolos Katsaris
Part II Derivatives
4 Estimating term structure models with the Kalman filter
97(17)
Marcel Prokopczuk
Yingying Wu
5 American option pricing using simulation with an application to the GARCH model
114(34)
Lars Stentoft
6 Derivatives pricing with affine models and numerical implementation
148(21)
Ke Chen
Ser-Huang Poon
7 Markov Chain Monte Carlo with particle filtering
169(28)
Yongwoong Lee
Ser-Huang Poon
Part III Banking And Microstructure
8 Competition in banking: measurement and interpretation
197(19)
Hong Liu
Phil Molyneux
John O. S. Wilson
9 Using heteroskedastic models to analyze the use of rules versus discretion in lending decisions
216(22)
Geraldo Cerqueiro
Hans Degryse
Steven Ongena
10 Liquidity measures
238(18)
Thomas Johann
Erik Theissen
11 Testing for contagion: the impact of US structured markets on international financial markets
256(31)
Woon Sau Leung
Nicholas Taylor
Part IV Corporate Finance
12 Empirical mergers and acquisitions research: a review of methods, evidence and managerial implications
287(27)
Audrey Golubov
Dimitris Petmezas
Nickolaos G. Travlos
13 The construction and valuation effect of corporate governance indices
314(27)
Manuel Ammann
David Oesch
Markus Schmid
14 Does hedging reduce economic exposure? Hurricanes, jet fuel prices and airlines
341(16)
David A. Carter
Daniel A. Rogers
Betty J. Simkins
Stephen D. Treanor
Part V Risk Modelling
15 Quantifying the uncertainty in VaR and expected shortfall estimates
357(16)
Silvia Stanescu
Radu Tunaru
16 Econometric modeling of exchange rate volatility and jumps
373(55)
Deniz Erdemlioglu
Sebastien Laurent
Christopher J. Neely
17 Predicting financial distress of companies: revisiting the Z-Score and ZETA® models
428(29)
Edward I. Altman
18 Quantifying time variation and asymmetry in measures of covariance risk: a simulation approach
457(20)
Olan T. Henry
Nilss Olekalns
Kalvinder K. Shields
Index 477
Edited by Adrian R. Bell, University of Reading, UK, Chris Brooks, University of Bristol, UK and Marcel Prokopczuk, Leibniz University Hannover, Germany