Handbook of financial econometrics and statistics/ edited by Cheng-Few Lee, John C. Lee

Introduction to Financial Econometrics and Statistics

Experience, Information Asymmetry, and Rational Forecast Bias

An Overview of Modeling Dimensions for Performance Appraisal of Global Mutual Funds

Simulation as a Research Tool for Market Architects

Motivations for Issuing Putable Debt: An Empirical Analysis

Multi Risk-Premia Model of U.S. Bank Returns: An Integration of CAPM and APT

Non-Parametric Bounds for European Option Prices

Can Time-Varying Copulas Improve Mean-Variance Portfolio?

Determinations of Corporate Earnings Forecast Accuracy: Taiwan Market Experience

Market-Based Accounting Research (MBAR) Models: A Test of ARIMAX Modeling

An Assessment of Copula Functions Approach in Conjunction with Factor Model in Portfolio Credit Risk Management

Assessing Importance of Time-Series versus Cross-Sectional Changes in Panel Data: A Study of International Variations in Ex-Ante Equity Premia and Financial Architecture

Does Banking Capital Reduce Risk?: An Application of Stochastic Frontier Analysis and GMM Approach

Evaluating Long-Horizon Event Study Methodology

Effect of Unexpected Volatility Shocks on Intertemporal Risk-Return Relation

Combinatorial Methods for Constructing Credit Risk Ratings

Dynamic Interactions in the Taiwan Stock Exchange: A Threshold VAR Model

Methods of Denoising Financial Data

Analysis of Financial Time-Series using Wavelet Methods

Composite Goodness-of-Fit Tests for Left Truncated Loss Sample --
Effect of Merger on the Credit Rating and Performance of Taiwan Security Firms --
On-/off-the-Run Yield Spread Puzzle: Evidence from Chinese Treasury Markets --
Factor Copula for Defaultable Basket Credit Derivatives --
Panel Data Analysis and Bootstrapping: Application to China Mutual Funds --
Market Segmentation and Pricing of Closed-end Country Funds: An Empirical Analysis -
A Comparison of Portfolios using Different Risk Measurements

Using Alternative Models and a Combining Technique in Credit Rating Forecasting: An Empirical Study

Can We Use the CAPM as an Investment Strategy?: An Intuitive CAPM and Efficiency Test

Group Decision Making Tools for Managerial Accounting and Finance Applications

Statistics Methods Applied in Employee Stock Options --
Structural Change and Monitoring Tests

Consequences of Option Pricing of a Long Memory in Volatility

Seasonal aspects of Australian electricity market

Pricing Commercial Timberland Returns in the United States

Optimal Orthogonal Portfolios with Conditioning Information

MultiFactor, MultiIndicator Approach to Asset Pricing: Method and Empirical Evidence

Binomial OPM, Black-Scholes OPM and Their Relationship: Decision Tree and Microsoft Excel Approach

Dividend Payments and Share Repurchases of U.S. Firms: An Econometric Approach

Term Structure Modeling and Forecasting Using the Nelson-Siegel Model

The intertemporal relation between expected return and risk on currency

Quantile Regression and Value-at-Risk

Earnings Quality and Board Structure: Evidence from South East Asia

Rationality and Heterogeneity of Survey Forecasts of the Yen-Dollar Exchange Rate: A Reexamination

Stochastic Volatility Structures and Intra-Day Asset Price Dynamics

Optimal Asset Allocation under VaR Criterion: Taiwan Stock Market

Applications of Switching Model in Finance and Accounting

Matched Sample Comparison Group Analysis

A Quasi-Maximum Likelihood Estimation Strategy for Value-at-Risk Forecasting: Application to Equity Index Futures Markets

Computer Technology for Financial Service

Long-Run Stock Return and the Statistical Inference

Value-at-Risk Estimation via a Semi-Parametric Approach: Evidence from the Stock Markets

Modeling Multiple Asset Returns by a Time-Varying t Copula Model

Internet Bubble Examination with Mean-Variance Ratio

Quantile Regression in Risk Calibration

Strike Prices of Options for Overconfident Executives -

Density and Conditional Distribution Based Specification Analysis

Assessing the Performance of Estimators Dealing with Measurement Errors

Realized Distributions of Dynamic Conditional Correlation and Volatility Thresholds in the Crude Oil, Gold and Dollar/Pound Currency Markets

Pre-IT Policy, Post-IT Policy, and the Real Sphere in Turkey

Determination of Capital Structure: A LISREL Model Approach

Evaluating the Effectiveness of Futures Hedging -

Evidence on Earning Management by Integrated Oil and Gas Companies

A Comparative Study of Two Models SV with MCMC Algorithm

Internal Control Material Weakness, Analysts Accuracy and Bias, and Brokerage Reputation

What Increases Banks Vulnerability to Financial Crisis: Short-Term Financing or Illiquid Assets?- Accurate Formulae for Evaluating Barrier Options with Dividends Payout and the Application in Credit Risk Valuation

Pension Funds: Financial Econometrics on the Herding Phenomenon in Spain and the United Kingdom

Estimating the Correlation of Asset Returns: A Quantile Dependence Perspective

Multi-Criteria Decision Making for Evaluating Mutual Funds Investment Strategies

Econometric Analysis of Currency Carry Trade -

Analytical Bounds for Treasury Bond Futures prices

Rating Dynamics of Fallen Angels and their Speculative Grade-Rated Peers: Static vs. Dynamic Approach

Creation and Control of Bubbles: Managers Compensation Schemes, Risk Aversion, and Wealth and Short Sale Constraints

Range Volatility: A Review of Models and Empirical Studies

Business Models: Applications to Capital Budgeting, Equity Value, and Return Attribution

VAR Models: Estimation, Inferences, and Applications

Model Selection for High-Dimensional Problems

Hedonic Regression Models

Optimal Payout Ratio under Uncertainty and the Flexibility Hypothesis: Theory and Empirical Evidence

Modeling Asset Returns with Skewness, Kurtosis, and Outliers

Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers: Combined Estimator Approach

A VG-NGARCH Model for Impacts of Extreme Events on Stock Returns

Risk-Averse Portfolio Optimization via Stochastic Dominance Constraints

Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type

Stochastic Change-Point Models of Asset Returns and Their Volatilities

Unspanned Stochastic Volatilities and Interest Rate Derivatives Pricing

Alternative Equity Valuation Models

Time Series Models to Predict the Net Asset Value (NAV) of an Asset Allocation Mutual Fund VWELX

Discriminant Analysis and Factor Analysis: Theory And Method --
Implied Volatility: Theory and Empirical Method

Measuring Credit Risk in a Factor Copula Model

Instantaneous Volatility Estimation by Nonparametric Fourier Transform Methods

A Dynamic CAPM with Supply Effect Theory and Empirical Results

A Generalized Model for Optimum Futures Hedge Ratio

Instrument Variable Approach to Correct for Endogeneity in Finance

Application of Poisson Mixtures in the Estimation of Probability of Informed Trading

CEO Stock Options and Analysts Forecast Accuracy and Bias

Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates

THE LE CHATELIER PRINCIPLE OF THE CAPITAL MARKET EQUILIBRIUM

Econometric Measures of Liquidity.