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Handbook of Research Methods and Applications in Empirical Finance
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Contents: Preface PART 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 Katsaris PART 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 PART 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 PART IV: CORPORATE FINANCE 12. Empirical Mergers and Acquisitions Research: A Review of Methods, Evidence and Managerial Implications Andrey 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 PART 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, Sebastien Laurent and Christopher J. Neely 17. Predicting Financial Distress of Companies: Revisiting the Z-Score and ZETA (R) 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 Index

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Edited by Adrian R. Bell, University of Reading, UK, Chris Brooks, University of Reading, UK and Marcel Prokopczuk, Leibniz University Hannover, Germany

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