J. Lee – Handbook of Financial Econometrics and Statistics (2015)

Автор: J. Lee
Название книги: Handbook of Financial Econometrics and Statistics
Формат: PDF
Жанр: Экономические дисциплины
Страницы: 2880
Качество: Изначально компьютерное, E-book

​The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.​

Financial econometrics and statistics have become very important tools for empirical
research in both finance and accounting. Econometric methods are important tools for
doing asset pricing, corporate finance, options and futures, and conducting financial
accounting research. Important econometric methods used in this research include:
single equation multiple regression, simultaneous regression, panel data analysis,
time series analysis, spectral analysis, non-parametric analysis, semi-parametric
analysis, GMM analysis, and other methods.
Portfolio theory and management research have used different statistical distributions,
such as normal distribution, stable distribution, and log normal distribution.
Options and futures research have used binomial distribution, log normal
distribution, non-central chi square distribution, Poission distribution, and others.
Auditing research has used sampling survey techniques to determine the sampling
error and non-sampling error for auditing.
Based upon our years of experience working in the industry, teaching classes,
conducting research, writing textbooks, and editing journals on the subject of
financial econometrics and statistics, this handbook will review, discuss, and
integrate theoretical, methodological, and practical issues of financial econometrics
and statistics. There are 99 chapters in this handbook. Chapter 1 presents an
introduction of financial econometrics and statistics and shows how readers can
use this handbook. The following chapters, which have been contributed by
accredited authors, can be classified by the following 14 topics.
i. Financial Accounting (Chapters 2, 9, 10, 61, 97)
ii. Mutual Funds (Chapters 3, 24, 25, 68, 88)
iii. Microstructure (Chapters 4, 44, 96, 99)
iv. Corporate Finance (Chapters 5, 21, 30, 38, 42, 46, 60, 63, 75, 79, 95)
v. Asset Pricing (Chapters 6, 15, 22, 28, 34, 36, 39, 45, 47, 50, 81, 85, 87, 93)
vi. Options (Chapters 7, 32, 37, 55, 65, 84, 86, 90, 98)
vii. Portfolio Analysis (Chapters 8, 26, 35, 53, 67, 73, 80, 83)
viii. Risk Management (Chapters 11, 13, 16, 17, 23, 27, 41, 51, 54, 72, 91, 92)
ix. International Finance (Chapters 12, 40, 43, 59, 69)
x. Event Study (Chapters 14)
xi. Methodology (Chapters 18, 19, 20, 29, 31, 33, 49, 52, 56, 57, 58, 62, 74, 76,
77, 78, 82, 89)

xii. Banking Management (Chapters 64)
xiii. Pension Funds (Chapters 66)
xiv. Futures and Index Futures (Chapters 48, 70, 71, 94)
In addition to this classification, based upon the keywords of chapter 2-99, we
classify the information into a) finance and accounting topics and b) methodology
topics. This information can be found in chapter 1 of this handbook.
In the preparation of this handbook, first, we would like to thank the member of
advisory board and contributors of this handbook. In addition, we would like to
make note that we appreciate the extensive help from the Editor Mr. Brian Foster,
our research assistants Tzu Tai, Lianne Ng, and our secretary Ms. Miranda Mei-Lan
Luo. Finally, we would like to thank the financial support from the Wintek
Corporation and APEX International Financial Engineering Res. & Tech. Co. Ltd.
that allowed us to write the edition of this book.
There are undoubtedly some errors in the finished product, both typo-graphical
and conceptual. I would like to invite readers to send suggestions, comments,
criticisms, and corrections to the author Professor Cheng F. Lee at the Department
of Finance and Economics, Rutgers University at the email address lee@business.
rutgers.edu.