Handbook of Financial Econometrics and Statistics
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Published By Springer New York

9781461477495, 9781461477501

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VAR Models: Estimation, Inferences, and Applications

Handbook of Financial Econometrics and Statistics ◽

10.1007/978-1-4614-7750-1_76 ◽

2014 ◽

pp. 2077-2091

Author(s):

Yangru Wu ◽

Xing Zhou

Keyword(s):

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

Handbook of Financial Econometrics and Statistics ◽

10.1007/978-1-4614-7750-1_52 ◽

2014 ◽

pp. 1431-1449

Author(s):

Long Kang

Keyword(s):

Asset Returns ◽

Copula Model ◽

Time Varying ◽

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Instrumental Variables Approach to Correct for Endogeneity in Finance

Handbook of Financial Econometrics and Statistics ◽

10.1007/978-1-4614-7750-1_95 ◽

2014 ◽

pp. 2577-2600 ◽

Author(s):

Chia-Jane Wang

Keyword(s):

Instrumental Variables ◽

Instrumental Variables Approach

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

Handbook of Financial Econometrics and Statistics ◽

10.1007/978-1-4614-7750-1_11 ◽

2014 ◽

pp. 299-316

Author(s):

Lie-Jane Kao ◽

Po-Cheng Wu ◽

Cheng-Few Lee

Keyword(s):

Risk Management ◽

Credit Risk ◽

Factor Model ◽

Credit Risk Management ◽

Copula Functions ◽

Portfolio Credit Risk

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Market Segmentation and Pricing of Closed-End Country Funds: An Empirical Analysis

Handbook of Financial Econometrics and Statistics ◽

10.1007/978-1-4614-7750-1_25 ◽

2014 ◽

pp. 669-705

Author(s):

Dilip K. Patro

Keyword(s):

Empirical Analysis ◽

Market Segmentation ◽

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A Generalized Model for Optimum Futures Hedge Ratio

Handbook of Financial Econometrics and Statistics ◽

10.1007/978-1-4614-7750-1_94 ◽

2014 ◽

pp. 2561-2576

Author(s):

Cheng-Few Lee ◽

Jang-Yi Lee ◽

Kehluh Wang ◽

Yuan-Chung Sheu

Keyword(s):

Generalized Model ◽

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A Dynamic CAPM with Supply Effect Theory and Empirical Results

Handbook of Financial Econometrics and Statistics ◽

10.1007/978-1-4614-7750-1_93 ◽

2014 ◽

pp. 2535-2559

Author(s):

Cheng-Few Lee ◽

Chiung-Min Tsai ◽

Alice C. Lee

Keyword(s):

Empirical Results ◽

Supply Effect ◽

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Instantaneous Volatility Estimation by Nonparametric Fourier Transform Methods

Handbook of Financial Econometrics and Statistics ◽

10.1007/978-1-4614-7750-1_92 ◽

2014 ◽

pp. 2519-2533

Author(s):

Chuan-Hsiang Han

Keyword(s):

Fourier Transform ◽

Transform Methods ◽

Volatility Estimation ◽

Fourier Transform Methods ◽

Instantaneous Volatility

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Unspanned Stochastic Volatilities and Interest Rate Derivatives Pricing

Handbook of Financial Econometrics and Statistics ◽

10.1007/978-1-4614-7750-1_86 ◽

2014 ◽

pp. 2337-2399

Author(s):

Feng Zhao

Keyword(s):

Interest Rate ◽

Derivatives Pricing ◽

Interest Rate Derivatives ◽

Stochastic Volatilities

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

Handbook of Financial Econometrics and Statistics ◽

10.1007/978-1-4614-7750-1_75 ◽

2014 ◽

pp. 2051-2075

Author(s):

Thomas S. Y. Ho ◽

Sang Bin Lee

Keyword(s):

Business Models ◽

Capital Budgeting ◽

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