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"This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts. In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others. In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook. Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience"--Publisher's website.

vol. i. Introduction to financial econometrics, mathematics, statistics, and machine learning / C F Lee. Do managers use earnings forecasts to fill a demand they perceive from analysts? / O Barron, J Cao, X Sheng, M Thevenot and B Xin. A potential benefit of increasing book-tax conformity : evidence from the reduction in audit fees / N-T Kuo and C F Lee. Gold in portfolio: A long-term or short-term diversifier? / F-L Lin, S-Y Yang and Y-F Chen. Econometric approach to financial analysis, planning, and forecasting / C F Lee. Forecast performance of the Taiwan weighted stock index : update and expansion / D-Y Ji, H-Y Chen and C F Lee. Parametric, semi-parametric, and non-parametric approaches for option-bound determination : review and comparison / C F Lee and P G Zhang. Measuring the collective correlation of a large number of stocks / W-F Niu and H H-S Lu. Key borrowers detected by the intensities of their interactions / F Aleskerov, I Andrievskaya, A Nikitina and S Shvydun. Application of the multivariate average F-test to examine relative performance of asset pricing models with individual security returns / S Rahman and M J Schneider. Hedge ratio and time series analysis / S-S Chen, C F Lee and K Shresth. Application of intertemporal CAPM on international corporate finance / J-R Chang, M-W Hung and C F Lee. What drives variation in the international diversification benefits? A cross-country analysis / W-J P Chiou and K Pukthuanthong. A Heteroskedastic black-litterman portfolio optimization model with views derived from a predictive regression / W-H Lin, H-W Teng and C-C Yang. Pricing fair deposit insurance : structural model approach / T Tai, C F Lee, T-S Dai, K L Wang and H-Y Chen. Application of structural equation modeling in behavioral finance : a study on the disposition effect / H-H Chang. External financing needs and early adoption of accounting standards: Evidence from the banking industry / S I-Ling Wang. Improving the stock market prediction with social media via broad learning / X Zhang and P S Yu. Sourcing alpha in global equity markets : market factor decomposition and market characteristics / S S Mohanty. Support vector machines based methodology for credit risk analysis / J Li, M Liu, C F Lee and D Wu. Data mining applications in accounting and finance context / W Kwak, Y Shi and C F Lee. Trade-off between reputation concerns and economic dependence for auditors : threshold regression approach / F-C Lin, C-C Chien, C F Lee, H-C Lin and Y-C Lin. ASEAN economic community : analysis based on fractional integration and cointegration / L A Gil-Alana and H Carcel. Alternative methods for determining option bounds: A review and comparison / C F Lee, Z Zhong, T Tai and H Chuang. Financial reforms and the differential impact of foreign versus domestic banking relationships on firm value / H-C Yu, C F Lee and B J Sopranzetti. Time-series analysis : components, models, and forecasting / C F Lee -- vol. ii. Itô's calculus and the derivation of the black-scholes option-pricing model / G Chalamandaris and A G Malliaris. Durbin-Wu-Hausman specification tests / R H Patrick. Jump spillover and risk effects on excess returns in the united states during the great recession / J Schlossberg and N R Swanson. Earnings forecasts and revisions, price momentum, and fundamental data : further explorations of financial anomalies / J Guerard and A Mark. Ranking analysts by network structural hole / R-J Guo, Y Lu and L Xie. The association between book-tax differences and CEO compensation / K-W Lee and G H-H Yeo. Stochastic volatility models : faking a smile / D Diavatopoulos and O Sokolinskiy. Entropic two-asset option / T Sebehela. The joint determinants of capital structure and stock rate of return : a LISREL model approach / H-Y Chen, C F Lee and T Tai. Time-frequency wavelet analysis of stock-market co-movement between and within geographic trading blocs / B Kaffel and F Abid. Alternative methods to deal with measurement error / H-Y Chen, A C Lee and C F Lee. Simultaneously capturing multiple dependence features in bank risk integration : a mixture copula framework / X Zhu, J Li and D Wu. GPU acceleration for computational finance / C-H Han. Does VIX truly measure return volatility? / K V Chow, W Jiang and J Li. An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model / Y-T Chen, C F Lee and Y-C Sheu. How does investor sentiment affect implied risk-neutral distributions of call and put options? / W-M Szu, Y-C Wang and W-R Yang. Intelligent portfolio theory and strength investing in the confluence of business and market cycles and sector and location rotations / H Pan. Evolution strategy-based adaptive Lq penalty support vector machines with gauss kernel for credit risk analysis / J Li, G Li, D Sun and C F Lee. Product market competition and CEO pay benchmarking / I E Brick and D Palia. Equilibrium rate analysis of cash conversion systems : the case of corporate subsidiaries / W Chen, B Melamed, O Sokolinskiy and B S Sopranzetti. Is the market portfolio mean-variance efficient? / R Grauer. Consumption-based asset pricing with prospect theory and habit formation / J-Y Wang and M-W Hung. An integrated model for the cost-minimizing funding of corporate activities over time / M C Gupta. Empirical studies of structural credit risk models and the application in default prediction : review and new evidence / H-H Lee, R-R Chen and C F Lee. Empirical performance of the constant elasticity variance option pricing model / R R Chen, C F Lee and H-H Lee. The jump behavior of a foreign exchange market: Analysis of the thai baht / J-R Chang, M-W Hung, C F Lee and H-M Lu. The revision of systematic risk on earnings announcement in the presence of conditional heteroscedasticity / C-C Chien, C F Lee and S-C Chiu. Applications of fuzzy set to international transfer pricing and other business decisions / W Kwak, Y Shi, H Lee and C F Lee. A time-series bootstrapping simulation method to distinguish sell-side analysts' skill from Luck / C Su and H Zhang. Acceptance of new technologies by employees in financial industry / V Belousova, V Solodkov, N Chichkanov and E Nikiforova. Alternative method for determining industrial bond ratings : theory and empirical evidence / L-J Kao and C F Lee. An empirical investigation of the long memory effect on the relation of downside risk and stock returns / C Y-H Chen and T C Chiang. Analysis of sequential conversions of convertible bonds : a recurrent survival approach / L-J Kao, L-S Chen and C F Lee. Determinants of euro-area bank cds spreads / M-E K Agoraki, D A Georgoutsos and G T Moratis. Dynamic term structure models using principal components analysis near the zero lower bound / J Juneja. Effects of measurement errors on systematic risk and performance measure of a portfolio / C F Lee and F C Jen. Forecasting net charge-off rates of banks : a PLS approach / J R Barth, S Joo, H Kim, K B Lee, S Maglic and X Shen. Application of Filtering Methods in Asset Pricing / H Chang and Y Wu. Sampling distribution of the relative risk aversion estimator : theory and applications / M J Karson, D C Cheng and C F Lee.

vol. ii. Social media, bank relationships and firm value / C-H Chao and H-C Yu. Splines, heat, and ipos: Advances in the measurement of aggregate IPO issuance and performance / Z A Smith, M A M Al Janabi and M Z Mumtaz. The effects of the sample size, the investment horizon and the market conditions on the validity of composite performance measures: A generalization / S-N Chen and C F Lee. The sampling relationship between sharpe's performance measure and its risk proxy: Sample size, investment horizon and market conditions / S-N Chen and C F Lee. VG NGARCH versus GARJI model for asset price dynamics / L-J Kao and C F Lee. Why do smartphone and tablet users adopt mobile banking? / V Belousova and N Chichkanov. Non-parametric inference on risk measures for integrated returns / H Tsai, H-C Ho and H-Y Chen. Copulas and Tail dependence in finance / W-C Lai and K-L Goh. Some improved estimators of maximum squared sharpe ratio / S K Choy and B-q Yang. Errors-in-variables and reverse regression / S Rahman and C F Lee. The role of financial advisors in M&As: Do domestic and foreign advisors differ? / K-S Chuang. Discriminant analysis, factor analysis, and principal component analysis: Theory, method, and applications / C F Lee. Credit analysis, bond rating forecasting, and default probability estimation / C F Lee. Market model, CAPM, and beta forecasting / C F Lee. Utility theory, capital asset allocation, and markowitz portfolio-selection model / C F Lee. Single-index model, multiple-index model, and portfolio selection / C F Lee. Sharpe performance measure and treynor performance measure approach to portfolio analysis / P Chiou and C F Lee. Options and option strategies: Theory and empirical results / C F Lee. Decision tree and microsoft excel approach for option pricing model / J-R Chang and J Lee. Statistical distributions, European option, american option, and option bounds / C F Lee. A Comparative static analysis approach to derive greek letters : theory and applications / C F Lee and Y Xiao. Fundamental analysis, technical analysis, and mutual fund performance / C F Lee. Bond portfolio management, swap strategy, duration, and convexity / C F Lee. Synthetic options, portfolio insurance, and contingent immunization / C F Lee. Alternative security valuation model: Theory and empirical results / C F Lee. Opacity, stale pricing, extreme bounds analysis, and hedge fund performance : making sense of reported hedge fund returns / Z A Smith, M A M Al Janabi and M Z Mumtaz. Does quantile co-integration exist between gold spot and futures prices? / H-C Yu, C-J Lee and D-T Hsieh. Bayesian portfolio mean-variance efficiency test with sharpe ratio's sampling error / L-J Kao, H C Soo and C F Lee. Does revenue momentum drive or ride earnings or price momentum? / H-Y Chen, S-S Chen, C-W Hsin and C F Lee. Technical, fundamental, and combined information for separating winners from losers / H-Y Chen, C F Lee and W-K Shih. Optimal payout ratio under uncertainty and the flexibility hypothesis : theory and empirical evidence / C F Lee, M C Gupta, H-Y Chen and A C Lee. Sustainable growth rate, optimal growth rate, and optimal payout ratio: A joint optimization approach / H-Y Chen, M C Gupta, A C Lee and C F Lee. Cross-sectionally correlated measurement errors in two-pass regression tests of asset-pricing models / T Gramespacher, A Bänziger and N Hilber. Asset Pricing with disequilibrium price adjustment : theory and empirical evidence / C F Lee, C-M Tsai and A C Lee -- vol. iv. A dynamic capm with supply effect theory and empirical results / C F Lee, C-M Tsai and A C Lee. Estimation procedures of using five alternative machine learning methods for predicting credit card default / H W Teng and M Lee. Alternative methods to derive option pricing models : review and comparison / C F Lee, Y Chen and J Lee. Option price and stock market momentum in China / J Li, Y Yao, Y Chen and C F Lee. Advancement of optimal portfolio models with short-sales and transaction costs: Methodology and effectiveness / W-J P Chiou and J-R Yu. The path leading up to the new IFRS 16 leasing standard : how was the restructuring of lease accounting received by different advocacy groups? / C Blecher and S Kruse. Implied variance estimates for Black-Scholes and CEV OPM : review and comparison / C F Lee, Y Chen and J Lee. Crisis impact on stock market predictability / R Mohnot. How many good and bad funds are there, really? / W Ferson and Y Chen. Constant elasticity of variance option pricing model: Integration and detailed derivation / Y L Hsu, T L Lin and C F Lee. An integral equation approach for bond prices with applications to credit spreads / Y-T Chen, C F Lee and Y-C Sheu. Sample selection issues and applications / H-L Chuang and S-Y Chiu. Time series and neural network analysis / K C Tseng, O Kwon and L C Tjung. Covariance regression model for non-normal data / T Zou, R Luo, W Lan and C-L Tsai. Impacts of time aggregation on beta value and R² estimations under additive and multiplicative assumptions : theoretical results and empirical evidence / Y Xiao, Y Tang and C F Lee. Large-sample theory / S Poshakwale and A Mandal. Impacts of measurement errors on simultaneous equation estimation of dividend and investment decisions / C F Lee and F-L Lin. Big Data and Artificial Intelligence in the Banking Industry / T R Yu and X Song. A non-parametric examination of emerging equity markets financial integration / K Yang, S Wahab, B Kolluri and M Wahab. Algorithmic analyst ( ALAN) : an application for artificial intelligence content as a service / T Hong, D Lee and W Wang. Survival analysis : theory and applications in finance / F Gao and X He. Pricing liquidity in the stock market / D Du and O Hu. The evolution of capital asset pricing models : update and extension / Y-C Shih, S-S Chen, C F Lee and P-J Chen. The multivariate GARCH model and its application to East Asian financial market integration / Y Tsukuda, J Shimada and T Miyakoshi. Review of difference-in-difference analyses in social sciences: Application in policy test research / W H Greene and M Liu. Using smooth transition regressions to model risk regimes / L A Gallagher, M C Hutchinson and J O'Brien. Application of discriminant analysis, factor analysis, logistic regression, and KMV-Merton model in credit risk analysis / C F Lee and H-C Yu. Predicting credit card delinquencies : an application of deep neural networks / T Sun and M A Vasarhalyi. Estimating the tax-timing option value of corporate bonds / P H Chen, S Liu and C Wu. DCC-GARCH Model for market and firm-level dynamic correlation in S&P 500 / P Chen, C Wu and Y Zhang. Using path analysis to integrate accounting and non-financial information : the case for revenue drivers of internet stocks / A Kozberg. The implications of regulation in the community banking sector: Risk and competition / G McKee and A Kagan.