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

Includes bibliographical references and index.

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.

Presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples.

Legacy 2017 UoY