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Handbook of Research Methods and Applications in Empirical Finance
Edited by Adrian R. Bell, Chris Brooks and Marcel Prokopczuk
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.
Handbook
- Published in print:
- 30 Apr 2013
- ISBN:
- 9780857936080
- eISBN:
- 9780857936097
- Pages:
- 504
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- Handbook of Research Methods and Applications in Empirical Finance
- Copyright
- Contents
- Contributors
- Preface
- Chapter 1: Markov switching models in asset pricing research
- Chapter 2: Portfolio optimization: theory and practical implementation
- Chapter 3: Testing for speculative bubbles in asset prices
- Chapter 4: Estimating term structure models with the Kalman filter
- Chapter 5: American option pricing using simulation with an application to the GARCH model
- Chapter 6: Derivatives pricing with affine models and numerical implementation
- Chapter 7: Markov Chain Monte Carlo with particle filtering
- Chapter 8: Competition in banking: measurement and interpretation
- Chapter 9: Using heteroskedastic models to analyze the use of rules versus discretion in lending decisions
- Chapter 10: Liquidity measures
- Chapter 11: Testing for contagion: the impact of US structured markets on international financial markets
- Chapter 12: Empirical mergers and acquisitions research: a review of methods, evidence and managerial implications
- Chapter 13: The construction and valuation effect of corporate governance indices
- Chapter 14: Does hedging reduce economic exposure? Hurricanes, jet fuel prices and airlines
- Chapter 15: Quantifying the uncertainty in VaR and expected shortfall estimates
- Chapter 16: Econometric modeling of exchange rate volatility and jumps
- Chapter 17: Predicting financial distress of companies: revisiting the Z-Score and ZETA® models
- Chapter 18: Quantifying time variation and asymmetry in measures of covariance risk: a simulation approach
- Index
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Copyright
Handbook Chapter
- Published:
- 30 April 2013
- Category:
- Handbook Chapter
- Pages:
- iv (1 total)
Collection:
Economics 2013
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- Handbook of Research Methods and Applications in Empirical Finance
- Copyright
- Contents
- Contributors
- Preface
- Chapter 1: Markov switching models in asset pricing research
- Chapter 2: Portfolio optimization: theory and practical implementation
- Chapter 3: Testing for speculative bubbles in asset prices
- Chapter 4: Estimating term structure models with the Kalman filter
- Chapter 5: American option pricing using simulation with an application to the GARCH model
- Chapter 6: Derivatives pricing with affine models and numerical implementation
- Chapter 7: Markov Chain Monte Carlo with particle filtering
- Chapter 8: Competition in banking: measurement and interpretation
- Chapter 9: Using heteroskedastic models to analyze the use of rules versus discretion in lending decisions
- Chapter 10: Liquidity measures
- Chapter 11: Testing for contagion: the impact of US structured markets on international financial markets
- Chapter 12: Empirical mergers and acquisitions research: a review of methods, evidence and managerial implications
- Chapter 13: The construction and valuation effect of corporate governance indices
- Chapter 14: Does hedging reduce economic exposure? Hurricanes, jet fuel prices and airlines
- Chapter 15: Quantifying the uncertainty in VaR and expected shortfall estimates
- Chapter 16: Econometric modeling of exchange rate volatility and jumps
- Chapter 17: Predicting financial distress of companies: revisiting the Z-Score and ZETA® models
- Chapter 18: Quantifying time variation and asymmetry in measures of covariance risk: a simulation approach
- Index