Handbook of Financial
Econometrics
and Statistics
TABLE OF CONTENTS
1. Introduction
Financial Econometrics and Statistics: Past, Present, and Future
Cheng-few Lee, Rutgers University, USA
2. Experience, Information Asymmetry, and Rational Forecast Bias
April Knill, Florida State University, USA
Kristina Minnick, Bentley College, USA
Ali Nejadmalayeri, Oklahoma State University, USA
3. An Overview Of Modeling Dimensions For Performance Appraisal Of Global Mutual Funds
G.V. Satya Sekhar, Gandhi Institute of Technology and Management Studies (GITAM), India
4. Simulation as a Research Tool for Market Architects
Robert A. Schwartz, Baruch College, CUNY, USA
Robert.Schwartz@baruch.cuny.edu
Bruce W. Weber, London Business School, USA
5. The Motivations for Issuing Putable Debt: An Empirical Analysis
Ivan E. Brick, Rutgers University, USA
Oded Palmon, Rutgers University, USA
Dilip K. Patro, Rutgers University, USA
6. Multi Risk-Premia Model of US Bank Returns: An Integration of CAPM and APT
Suresh Srivastava, University of Alaska Anchorage, USA
Ken Hung, Texas A&M International University, USA
7. Non-Parametric Bounds for European Option Prices
Ren-Raw Chen, Fordham University, USA
Hsuan-Chu Lin, National Cheng-Kung University, Taiwan
Oded Palmon, Rutgers University, USA
8. Can Time-Varying Copulas Improve Mean-Variance Portfolio?
Chin-Wen Huang, Western Connecticut State University, USA
Chun-Pin Hsu, The City University of New York, USA
Wan-Jiun Paul Chiou, Central Michigan University, USA
9. Determinations of Corporate Earnings Forecast Accuracy: Taiwan Market Experience
Ken Hung, Texas A&M International University, USA
Suresh Srivastava, University of Alaska Anchorage, USA
10. Market-Based Accounting Research (MBAR) Models: A Test of ARIMAX Modeling
Anastasia Maggina, Papakostandinou 12, Avlona Attikis 19011, Greece
11. An Assessment of Copula Functions Approach in Conjunction with Factor Model in Portfolio Credit Risk Management
Lie-Jane Kao, Kainan University, Taiwan
Po-Cheng Wu, Kainan University, Taiwan
Cheng Few Lee, Rutgers University, USA
12. 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
Raj Aggarwal, University of Akron, USA
John W. Goodell, University of Akron, USA
13. Does Banking Capital Reduce Risk? An Application of Stochastic Frontier Analysis and GMM Approach
Robert L. Porter, Quinnipiac University, USA
Wan-Jiun Paul Chiou, Central Michigan University, USA
14. Evaluating Long-Horizon Event Study Methodology
James S. Ang, Florida University, USA
Shaojun Zhang, The Hong Kong Polytechnic University, Hong Kong
15. The Effect of Unexpected Volatility Shocks on Intertemporal Risk-Return Relation
Kiseok Nam, Yeshivs University, USA
Joshua Krausz, Yeshivs University, USA
Augustine C. Arize, Texas A&M University-Commerce, USA
16. Combinatorial Methods for Constructing Credit Risk Ratings
Alexander Kogan, Rutgers University, USA
Miguel A. Lejeune, George Washington University, USA
17. Dynamic Interactions between Institutional Investors and the Taiwan Stock Exchange Corporation: One-regime and Threshold VAR Models
Bwo-Nung Huang, National Chung-Cheng University, Taiwan
Ken Hung, Texas A&M International University, USA
Chien-Hui Lee, National Kaohsiung University of Applied Sciences, Taiwan
Chin-Wei Yang, Clarion University of Pennsylvania, USA and National Chung Cheng University, Taiwan
18. Methods of Denoising Financial Data
Thomas Meinl, Karlsruhe Institute of Technology, USA
Edward W. Sun, Karlsruhe Institute of Technology, USA
19. Analysis of Financial Time-Series using Fourier and Wavelet Methods
Philippe Masset, University of Fribourg, Switzerland
20. Composite Goodness-of-Fit Tests for Left Truncated Loss Sample
Anna Chernobai, Whitman School of Management, Syracuse University, USA
Svetlozar T. Rachev, Stony Brook University, SUNY, USA
Frank J. Fabozzi Yale Management School, USA
21. Effect of Merger on the Credit Rating and Performance of Taiwan Security Firms
Suresh Srivastava, University of Alaska Anchorage, USA
Ken Hung, Texas A&M International University, USA
22. On-/off-the-Run Yield Spread Puzzle: Evidence from Chinese Treasury Markets
Rong Chen, Xiamen University, China
Hai Lin, University of Otago, New Zealand
Qianni Yuan, Xiamen University, China
23. Factor Copula for Defaultable Basket Credit Derivatives
Po-Cheng Wu, Kainan University, Taiwan
Lie-Jane Kao, Kainan University, Taiwan
Cheng-few Lee, Rutgers University, USA
24. Panel Data Analysis and Bootstrapping: Application to China Mutual Funds
Win Lin Chou, City University of Hong Kong, Hong Kong
Shou Zhong Ng, Hong Kong Monetary Authority, Hong Kong
Yating Yang, National Chiao Tung University, Taiwan
25. Market Segmentation and Pricing of Closed-end Country Funds: An Empirical Analysis
Dilip Kumar Patro, Rutgers University, USA
26. A comparison of portfolios using different risk measurements
Jing Rung Yu, National Chi Nan University, Taiwan
Yu Chuan Hsu, National Chi Nan University, Taiwan
Si Rou Lim, National Chi Nan University, Taiwan
27. Using Alternative Models and a Combining Technique in Credit Rating Forecasting — An Empirical Study
Cheng-Few Lee, Rutgers University, USA
Kehluh Wang, National Chiao Tung University, Taiwan
Yating Yang, National Chiao Tung University, Taiwan
28. Can we use the CAPM as an investment strategy? An intuitive CAPM and efficiency test.
Fernando Gomez-Bezares, Universidad de Deusto, Spain
Luis Ferruz, Universidad de Zaragoza, Spain
Maria Vargas, Universidad de Zaragoza, Spain
29. Group Decision Making Tools for Managerial Accounting and Finance Applications
Wikil Kwak, University of Nebraska at Omaha, USA
Yong Shi, University of Nebraska at Omaha, USA and Chinese Academy of Sciences, China
Cheng-Few Lee, Rutgers University, USA
Heeseok Lee, Korea Advanced Institute of Science and Technology, Korea
30. Statistics Methods Applied in Employee Stock Options
Li-jiun Chen, National Taiwan University, Taiwan
Cheng-der Fuh, National Central University, Academia Sinica and National Chiao Tung University, Taiwan
31. Structural Change and Monitoring Tests
Shin-Huei Wang, CORE, Université Catholique de Louvain, Belgium
shin-huei.wang@uclouvain.be; cindywang9177@gmail.com
Yi Meng XieBeijing Normal University, China
32. Consequences of Option Pricing of a Long Memory in Volatility
Stephen J Taylor, Lancaster University Management School, United Kingdom
33. Seasonal aspects of Australian electricity market
Stuart Thomas, RMIT University, Australia
Vikash Ramiah, RMIT University, Australia
Heather Mitchell, RMIT University, Australia
Richard Heaney, RMIT University, Australia
34. Pricing commercial timberland returns in the United States
Bin Mei, Warnell School of Forestry and Natural Resources, University of Georgia, USA
Michael L. Clutter, Warnell School of Forestry and Natural Resources, University of Georgia, USA
35. Optimal Orthogonal Portfolios with Conditioning Information
Wayne Ferson, University of Southern California, USA
Andrew F. Siegel, University of Washington, USA
36. Multi-factor, Multi-indicator approach to asset pricing : method and empirical evidence(completed paper typed by Miranda)
Cheng-Few Lee, Rutgers University, USA
Kuo C. John Wei, Hong Kong University of Science and Technology, Hong Kong
Hong-Yi Chen, National Central University, Taiwan
37. Binomial OPM, Black-Scholes OPM and Their Relationship: Decision Tree and Microsoft Excel Approach
John Lee, Center for PBBEF Research, USA
johnleejohnlee@yahoo.com; leeleeassociates@gmail.com
38. Dividend payments and share repurchases of U.S. firms: An econometric approach
Alok Bhargava, Department of Economics, University of Houston, USA
39. Term Structure Modeling and Forecasting Using the Nelson-Siegel Model
Jian Hua, Baruch College (CUNY), USA
40. The intertemporal relation between expected return and risk on currency
Turan G. Bali, Baruch College, USA
Kamil Yilmaz, Koç University, Turkey
41. Quantile Regression and Value-at-Risk
Zhijie Xiao, Boston College, USA
Hongtao Guo, Salem State University, USA
Miranda S. Lam, Salem State University, USA
42. Earnings Quality and Board Structure: Evidence from South East Asia
Kin-Wai Lee, Nanyang Business School, Nanyang Technological University, Singapore
43. The Rationality and Heterogeneity of Survey Forecasts of the Yen-Dollar Exchange Rate: A Reexamination
Richard Cohen, University of Alaska Anchorage, USA
Carl Bonham, University of Hawaii at Manoa, USA
Shigeyuki Abe, Doshisha University, Japan
44. Stochastic Volatility Structures and Intra-Day Asset Price Dynamics
Gerard L Gannon, Deakin University, Burwood, VIC, Australia
gerard@deakin.edu.au; gleonon@yahoo.com
45. Optimal Asset Allocation under VaR Criterion: Taiwan Stock Market
Suresh Srivastava, University of Alaska Anchorage, USA
Ken Hung, Texas A&M International University, USA
46. Applications of Switching Model in Finance and Accounting
Hongwei Chuang, Academia Sinica, Taiwan
Cheng-few Lee, Rutgers University, USA
Yating Yang, National Chiao Tung University, Taiwan
47. Matched Sample Comparison Group Analysis
Nan Hu, University of Wisconsin-Eau Claire, USA
Ling Liu, University of Wisconsin-Eau Claire, USA
Lee J. Yao, Loyola University New Orleans, USA
48. A Quasi-Maximum Likelihood Estimation Strategy for Value-at-Risk Forecasting: Application to Equity Index Futures Markets
Oscar Carchano, University of Valencia, Spain
Young Shin Kim, University of Karlsruhe and KIT, Germany
Edward W. Sun, University of Karlsruhe and KIT, Germany
Svetlozar T. Rachev, University of Karlsruhe and KIT, Germany
Frank J. Fabozzi, EDHEC Business School and EDHEC Risk Institute
49. Computer Technology for Financial Service
Fang-Pang Lin, National Center for High Performance Computing, Taiwan
Cheng-few Lee, Rutgers University, USA
Huimin Chung, National Chiao Tung University, Taiwan
50. Long-Run Stock Return and the Statistical Inference
Yanzhi Wang, Yuan Ze University, Taiwan
51. Value-at-Risk Estimation via a Semi-Parametric Approach: Evidence from the Stock Markets
Cheng-few Lee, Rutgers University, USA
Jung-Bin Su, China University of Science and Technology, Taiwan
52. Modeling Multiple Asset Returns by a Time-Varying t Copula Model
Long Kang, The Options Clearing Corporation and Center for Applied Economics and Policy Research, Indiana University Bloomington, USA
53. Internet Bubble Examination with Mean-Variance Ratio
Zhidong Bai, Northeast Normal University, China
Yongchang Hui, Northeast Normal University, China
Wing-Keung Wong, Hong Kong Baptist University, Hong Kong
54. Quantile Regression in Risk Calibration
Shih-Kang Chao, the Institute for Statistics and Econometrics of Humboldt-Universität zu Berlin, Germany
Wolfgang Karl Härdle, Humboldt-Universität zu Berlin, Germany
Weining Wang, Humboldt-Universität zu Berlin, Germany
55. Strike Prices of Options for Overconfident Executives
Oded Palmon, Rutgers University , USA
Itzhak Venezia, Rutgers University, USA
56. Density and Conditional Distribution Based Specification Analysis
Diep Duong, Rutgers University, USA
Norman R. Swanson, Rutgers University, USA
57. Assessing the Performance of Estimators Dealing with Measurement Errors
Heitor Almeida, University of Illinois, USA
Murillo Campello, Cornell University, USA
Antonio F. Galvao Jr., University of Wisconsin, USA
58. Realized Distributions of Dynamic Conditional Correlation and Volatility Thresholds in the Crude Oil, Gold and Dollar/Pound Currency Markets
Tung-Li Shih, Department of Hospitality Management, Ming Dao University, Taiwan
Hai-Chin Yu, Department of International Business, Chung Yuan University, Taiwan
Chia-Ju Lee, College of Business, Chung Yuan University, Taiwan
59. Pre-IT policy, Post IT policy and the Real Sphere in Turkey?
Ahmed Hachicha, Department of Economic Development, Faculty of Economics and Management of Sfax, Tunisia
Cheng-few Lee, Rutgers University, USA
60. The Determination of Capital Structure: A LISREL Model Approach
Tzu Tai, Rutgers Universtiy, USA
Cheng-few Lee, Rutgers University, USA
61. Evidence on Earning Management by Integrated Oil and Gas Companies
Raafat Roubi, Brock University, Canada
Hemantha Herath, Brock University, Canada
John Jahera, Auburn University, USA
62. A comparative study of two models SV with MCMC algorithm
Ahmed hachicha, University of Sfax, Tunisia
Fatma hachicha, University of Sfax, Tunisia
Afif masmoudi, University of Sfax, Tunisia
63. Internal Control Material Weakness, Analysts’ Accuracy and Bias, and Brokerage Reputation
Li Xu, Washington State University, USA
Alex P. Tang, Morgan State University, USA
64. What Increases Banks’ Vulnerability to Financial Crisis: Short-Term Financing or Illiquid Assets?
Gang (Nathan) Dong, Columbia University, USA
Yuna Heo, Rutgers University, USA
65. Accurate Formulae for Evaluating Barrier Options with Dividends Payout and the Application in Credit Risk Valuation
Tian-Shyr Dai, National Chiao-Tung University, Taiwan
cameldai@mail.nctu.edu.tw; cameldai@gmail.com
Chun-Yuan Chiu, National Chiao-Tung University, Taiwan
66. Pension Funds: financial econometrics on the herding phenomenon in Spain and the United Kingdom
Luis Ferruz Agudo, Universidad de Zaragoza, España
Mercedes Alda García, Universidad de Zaragoza, España
67. Estimating the Correlation of Asset Returns: A Quantile Dependence Perspective
Nicholas Sim, University of Adelaide, Australia
68. Multi-Criteria Decision Making for Evaluating Mutual Funds Investment Strategies
Shin-Yun Wang, National Dong Hwa University, Taiwan
Cheng Few Lee, Rutgers University, USA
69. Econometric Analysis of Currency Carry Trade
Chun-Liang Chen, National Chiao Tung University
Huimin Chung, National Chiao Tung University
Yun-Jen Wang, National Chiao Tung University
70. Evaluating the Effectiveness of Futures Hedging
Donald Lien, University of Texas at San Antonio, USA
71. Analytical bounds for Treasury bond futures prices
Ren-Raw Chen, Fordham University, USA
Shih-Kuo Yeh, National Chung Hsing University, Taiwan
Huong Dang, University of Canterbury, New Zealand
73. The roles of compensation scheme of portfolio managers, wealth and supply constraints, and the relative risk aversion of traders in the creation and control of speculative bubbles
James S. Ang, Florida State University, USA
Dean Diavatopoulos, Villanova University, USA
Thomas V. Schwarz, California State University, USA
74. Range Volatility: A Review of Models and Empirical Studies
Ray Y. Chou, Academia Sinica, Taiwan
Heng-chih Chou, Ming Chuan University, Taiwan
Nathan Liu, National Chiao Tung University, Taiwan
75. Business Models: Applications to Capital Budgeting, Equity Value, and Return Attribution
Thomas S. Y. Ho, Thomas Ho Company, Ltd, USA
Sang Bin Lee, Hanyang University, Korea
76. VAR Models: Estimation, Inferences, and Applications
Yangru Wu, Rutgers University, USA
yangruwu@andromeda.rutgers.edu
Xing Zhou, Rutgers University, USA
77. Model Selection for High-Dimensional Problems
JingZhi Huang, Penn State University, USA
Zhan Shi, PHD Student, Penn State University
Wei Zhong, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, China
78. Hedonic Regression Models
Ben J. Sopranzetti, Rutgers University, USA
79. Optimal Payout Ratio under Uncertainty and the Flexibility Hypothesis: Theory and Empirical Evidence
Cheng-Few Lee, Rutgers University, USA
Manak C. Gupta, Temple University, USA
Hong-Yi Chen, National Central University, Taiwan
Alice C. Lee, State Street Corp., USA
80. Modeling Asset Returns with Skewness, Kurtosis, and Outliers
Thomas C. Chiang, Drexel University USA
Jiandong Li, Chinese Academy of Finance and Development (CAFD) and Central University of Finance and Economics (CUFE), China
81. Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers: Combined Estimator Approach
Alice C. Lee, State Street Corp., USA
J. David Cummins, Temple University, Philadelphia, PA, USA
Cheng Few Lee, Rutgers University, USA
82. A VG-NGARCH Model for Impacts of Extreme Events on Stock Returns
Lie-Jane Kao, KaiNan University, Taiwan
Li-Shya Chen, National Cheng-Chi University, Taiwan
Cheng-Few Lee, Rutgers University, USA
83. Risk-Averse Portfolio Optimization via Stochastic Dominance Constraints
Darinka Dentcheva, Stevens Institute of Technology, USA
Andrzej Ruszczynski, Rutgers University, USA
84. Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type
Jia-Hau Guo, National Chiao Tung University, Taiwan, ROC
Mao-Wei Hung, National Taiwan University, Taiwan, ROC
85. Stochastic Change-Point Models of Asset Returns and Their Volatilities
Tze Leung Lai, Stanford University, USA
Haipeng Xing, SUNY at Stony Brook, USA
86. Unspanned Stochastic Volatilities and Interest Rate Derivatives Pricing
Feng Zhao, University of Texas at Dallas, USA
87. Alternative Equity Valuation Models
Hong-Yi Chen, National Central University, Taiwan
Cheng-Few Lee, Rutgers University, USA
Wei K. Shih, Bates White Economic Consulting, USA
88. Time Series Models to Predict the Net Asset Value (NAV) of an Asset Allocation Mutual Fund VWELX
Kenneth D. Lawrence, New Jersey Institute of Technology, USA
Gary Kleinman, Montclair State University, USA
Sheila Lawrence, Rutgers University, USA
89. Discriminant Analysis and Factor Analysis: Theory And Method
Cheng-Few Lee, Rutgers University, USA
Lie-Jane Kao, Kainan University, Taiwan
Tzu Tai, Rutgers University, USA
90. Implied Volatility: Theory and Empirical Method
Cheng-Few Lee, Rutgers University, USA
Tzu Tai, Rutgers University, USA
91. Measuring Credit Risk in a Factor Copula Model
Jow-Ran Chang, National Tsing Hua University, Taiwan
An-Chi Chen, KGI Securities Co. Ltd., Taiwan
German Molina, Statistical and Applied Mathematical Sciences Institute, USA
Chuan-Hsiang Han, National Tsing Hua University, Taiwan
Jean-Pierre Fouque, University of California, USA
93. A Dynamic CAPM with Supply Effect Theory and Empirical Results
Cheng-Few Lee, Rutgers University, USA
Chiung-Min Tsai, Central Bank of the Republic of China, Taiwan
Alice C. Lee, State Street, USA
94. A Generalized Model for Optimum Futures Hedge Ratio
Cheng-Few Lee, Rutgers University, USA
Jang-Yi Lee, Tunghai University, Taichung, Taiwan, ROC
Kehluh Wang, National Chiao Tung University, Hsinchu, Taiwan, ROC
Yuan-Chung Sheu , National Chiao Tung University, Hsinchu, Taiwan, ROC
sheu@math.nctu.edu.tw
95. Instrument Variable Approach to Correct for Endogeneity in Finance
Chia-Jane Wang, Manhattan College, Riverdale, NY, USA
96. Application of Poisson Mixtures in the Estimation of Probability of Informed Trading
Emily Lin, St. John's University, Taiwan
Cheng-few Lee, Rutgers University, USA
97. CEO stock options and analysts’ forecast accuracy and bias
Kiridaran Kanagaretnam, McMaster University, Canada
Gerald J. Lobo, University of Houston, USA
Robert Mathieu, Wilfrid Laurier University, Canada
98. Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates
Gurdip Bakshi, University of Maryland, USA
Charles Cao, Penn State University, USA
Zhiwu Chen, Yale University, USA