金融計量経済学・統計学・テクノロジー・リスク管理ハンドブック（全４巻）
Handbook of Financial Econometrics, Statistics, Technology, and Risk Management
Editors: Cheng-Few Lee, Rutgers University, USA, Alice C Lee, Center for PBBEF Research, USA, & John C Lee, Center for PBBEF Research, USA
2025:04 4 vols. 3,000 p. ISBN 978-981-9809-94-3 (World Scientific) -US-
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概要
本書は金融・会計における実証的ないし理論的研究のための重要ツールを調査したハンドブックです。同じく金融計量経済学の領域で用いられる重要概念を検討したレファレンスHandbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning（ISBN 9789811202384）の後継に位置付けられる資料です。今回の資料では、長年この業界で教育・研究を行ってきた執筆陣が全４巻を通して、金融計量経済学や数学、統計学の問題を改めて検討し、議論を深め、統合します。
第一巻では、主要な方法論と革新的な手法の基礎固めを行います。金融計量経済学からリスク管理における機械学習の応用まで、最適な先物ヘッジやCEO報酬が企業イノベーションに与える影響などの重要トピックを取り上げます。第二巻では、洗練された金融理論と機械学習応用を探究します。確率ボラティリティモデルやオプション価格の予想分散の複雑さ、米国国際株式ファンドの分散投資効果について深く議論します。第三巻では、コーポレートファイナンスとリスク解析における重要な問題を扱い、特に実践的な意味に強く焦点を当てます。国際的な移転価格税制の役割、企業再編、経営者の自社株購入権をカバーします。第四巻では、金融におけるビッグデータと先進的な計量経済学の統合を探究します。
高次モーメント理論を用いた投資分析やポートフォリオ管理、リスク管理を扱い、最先端のテクニックや革新的なアプローチを幅広く収録した包括的な資料である本書を、金融・会計や経済学の研究に携わる方々へ、おすすめいたします。
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収録内容明細
- Handbook of Financial Econometrics, Statistics, Technology, and Risk Management
- The Application of Difference-in-Differences in Accounting Studies
- Optimal Futures Hedge for Long-term Investors
- An Introductory Note on the Difference-in-Differences and Regression Discontinuity Design for the Accounting and Finance Research
- The Application of Machine Learning in Financial Risk Management: A Review
- CEO Compensation, Overconfidence, and Corporate Innovation-Evidence from US Listed Firms
- Parametric, Semi-Parametric, and Non-Parametric Approaches for Option Bound Determination: Review and Comparison
- Impact of Economic Institutions on Banking Stability: Evidence from CIS Countries
- Generalized dividend Behavior Model and Dividend Smoothing: Theory and Empirical Evidence
- Mortgage Loan OAS Attribution and Pricing Prediction: An ML-RNN Approach
- Factor-Mimicking Portfolios for Consumer Expectations using Machine Learning Algorithms
- How does Loan and Funding Mix Differ Across Bank Ownership Types?
- What Drives Variation in the International Diversification Benefits? A Cross-Country Analysis
- A Heteroskedastic Black-Litterman Portfolio Optimization Model with Views Derived from a Predictive Regression
- Functional Tail Dependence for Bivariate Copulas with an Application to Systemic Risk
- Application of Structural Equation Modelling Behavioral Finance: A Study on the Disposition Effect
- Risk Analysis of CMBS
- The REIT Portfolio Adjustments Uncertainty
- Sourcing Alpha in Global Equity Markets: Market Factor Decomposition an Market Characteristic
- Support Vector Machines Based Methodology for Credit Risk Analysis
- Data Mining Applications in Accounting and Finance Context
- Modelling Volatility of Cryptocurrencies Through Mathematical Theorems
- ASEAN Economic Community: Analysis based on Fractional Integration and Cointegration
- Arbitrage Pricing Theory and Intertemporal Capital Asset Pricing Model
- Generalized Information Ratio and Simulation Results
- Alternative methods for deriving statistical distributions of Sharpe Ratio: Review, Comparison, and Critique
- Net Trade Credit and Firm Performance
- Durbin-Wu-Hausman Specification Tests
- Jump Spillover and Risk Effects on Excess Returns in the United States during the Great Recession
- Earnings Forecasts and Revisions, Price Momentum, and Fundamental Data: Further Explorations of Financial Anomalies
- Ranking Analysts by Network Structural Hole
- Introduction to Important Finance Theories
- Stochastic Volatility Models: Faking a Smile
- Normal, Log-Normal Distribution, and Option Pricing Model
- The Joint Determinants of Capital Structure and Stock Rate of Return: A LISREL Model Approach
- Implied Variance, Volatility Smile, and CEV Option Pricing Model
- Portfolio Insurance and Synthetic Options
- Simultaneously Capturing Multiple Dependence Features in Bank Risk Integration: A Mixture Copula Framework
- GPU Acceleration for Computational Finance
- Does VIX Truly Measure Return Volatility?
- Exotic Options
- Real Option and Fuzzy Real Option
- Alternative Methods for Determining Option Bounds: A Review and Comparison
- Evolution Strategy Based Adaptive Lq Penalty Support Vector Machines with Gauss Kernel for Credit Risk Analysis
- Product Market Competition and CEO Pay Benchmarking
- Good-Deal Performance Bounds and the Diversification Benefits of US International Equity Closed-End Funds
- Is the Market Portfolio Mean-Variance Efficient?
- Consumption-Based Asset Pricing with Prospect Theory and Habit Formation
- Chinese Board Directors with Overseas Experience and Atypical Executive Perks
- Empirical Studies of Structural Credit Risk Models and the Application In Default Prediction: Review and New Evidence
- Investor Attention, Fee Structure, and Newly Issued Funds
- A Comprehensive Guide to Machine Learning in Finance: From Introduction to Model Selection
- Financial Econometrics, Mathematics, Statistics, and Financial Technology: An Overall View
- Applications of Fixed Effect Models to Managerial Risk-taking Incentives, Applications of Fuzzy Set to International Transfer Pricing and Other Business Decisions
- A Time-Series Bootstrapping Simulation Method to Distinguish Sell-Side Analysts’ Skill from Luck
- Application of Machine Learning to Stock Selections Using Dynamic Factors and Rolling Training
- Application of Econometric Techniques and Machine Learning Algorithms for Small & Medium-sized Enterprises (SME) Credit Risk Assessment
- Pricing Puttable Warrants on Commercial REITs
- Board Demographic Diversity and Firm Performance: A Quantile Regression Approach
- Determinants Of Euro-Area Bank Cds Spreads
- Dynamic Term Structure Models Using Principal Components Analysis Near the Zero Lower Bound
- Effects of Measurement Errors on Systematic Risk and Performance Measure of a Portfolio
- Futures, Options, Swaps, and Risk Management
- Options, Put-Call parities, and Option Strategies
- Sampling Distribution of the Relative Risk Aversion Estimator: Theory and Applications
- Index Option, Option on Index Futures, and Currency Option
- Splines, Heat, and IPOs: Advances in the Measurement of Aggregate IPO Issuance and Performance
- Financial Planning and Strategy
- Bankruptcy, Workouts, and Corporate Reorganization
- International Transfer Pricing of Intellectual Property under Stochastic Demand
- Constant Elasticity of Variance Option Pricing Model: Detailed Derivation and Implied Variance Estimation
- Non-Parametric Inference on Risk Measures for Integrated Returns
- Applications of Discriminant Analysis, Factor Analysis, Logistic Regression, And Kmv-Merton Model in Risk Analyses
- The Heterogeneous Investment Horizon and Capital Asset Pricing Model: Theory and Implications
- Errors-in-Variables and Reverse Regression
- Alternative Method for Determining Industrial Bond Ratings: Theory and Empirical Evidence
- Regime switching, systemic risk and financial stability dynamics: The case of the Athens Stock Exchange
- Product Market Competition and Real Activities Manipulations: Theory, Implications, and Applications
- Market Model, CAPM, and Beta Forecasting
- International Trades, Capital Regulations, and Efficiency: Evidence from the Banking Sector in China during the Pre-China-US Trade War Era
- Performance of Active and Passive Mutual Funds in India — Pre and during COVID
- Revisiting the Momentum Effect in Taiwan: The Role of Persistency
- A Comparative Analysis of Hedging Determination for Three Alternative International Equity Index Futures
- A Simulation-based Approach to Design Dual Class Shares and the “Wedge” between Voting Rights and Cash Flow Rights
- Political Institutions and Cost Stickiness: International Evidence
- Does Individual Auditor Quality Contribute to Firm Value? Evidence from the Market Valuation on Corporate Cash Holdings
- Capital Budgeting with Multiple Criteria and Multiple Decision Makers: Update
- Bond Portfolio Management, Swap Strategy, Duration, and Convexity
- Effects of Executive Share Option Plans on Shareholder Wealth and Firm Performance: The Singapore Evidence
- Linear Conditional Expectation, Return Distributions, and Capital Asset Pricing Theories
- Opacity, Stale Pricing, Extreme Bounds Analysis, And Hedge Fund Performance: Making Sense of Reported Hedge Fund Returns
- Does Quantile Co-Integration Exist between Gold Spot and Futures Prices?
- Bayesian Portfolio Mean–Variance Efficiency Test with Sharpe Ratio’s Sampling Error
- Does CEO Power Affect the Association Between CEO Compensation and Tangible Assets Impairments?
- Technical, Fundamental, and Combined Information for Separating Winners from Losers
- Optimal Payout Ratio under Uncertainty and the Flexibility Hypothesis: Theory and Empirical Evidence
- Nonlinear Models in Corporate Finance Research: Review, Critique, and Extensions
- Cross-Sectionally Correlated Measurement Errors in Two-Pass Regression Tests of Asset-Pricing Models
- A New Application of Fuzzy Set Theory to the Black–Scholes Option Pricing Model
- Two-stage Models for the Analysis of Information Content of Equity-selling Mechanisms Choices
- Estimation Procedures of Using Five Alternative Machine Learning Methods for Predicting Credit Card Default
- Piecewise Forecasting the Interest Rates from Dynamic Nelson–Siegel Model
- Option Price and Stock Market Momentum in China
- Advancement of Optimal Portfolio Models with Short-sales and Transaction Costs: Methodology and Effectiveness
- The Path Leading up to the New IFRS 16 Leasing Standard: How was the Restructuring of Lease Accounting Received by Different Advocacy Groups?
- Implied Variance Estimates for Black-Scholes and CEV OPM: Review and Comparison
- Crisis Impact on Stock Market Predictability
- How Many Good and Bad Funds Are there, Really?
- Difference-in-Differences Methods and Path Analysis in Corporate Cash Holding Policy
- An Integral Equation Approach for Bond Prices with Applications to Credit Spreads
- The Relationship between Stock Ownership and the Effect of Investor Tax Status on Dividend Tax Capitalization: Theory and Empirical Evidence
- Dynamic Relationship between Stock Prices and Exchange Rates for G-7 Countries
- Covariance Regression Model for Non-Normal Data
- Impacts of Time Aggregation on Beta Value and R Squared Estimations Under Additive and Multiplicative Assumptions: Theoretical Results and Empirical Evidence
- Impact of Lead Independent Directors on Firms’ Earnings Management
- Investment, Financing, Dividend, and Production Policies: Review and Integration
- Big Data and Artificial Intelligence in the Banking Industry
- A Non-Parametric Examination of Emerging Equity Markets Financial Integration
- Algorithmic Analyst (ALAN) — An Application for Artificial Intelligence Content as a Service
- Survival Analysis: Theory and Applications in Finance
- An Intertemporal CAPM Approach to Evaluate Mutual Fund Performance
- Large Shareholders, Board Structure and Firm Value- Evidence from China
- The Multivariate GARCH Model and its Application to East Asian Financial Market Integration
- The Influences of Information Demand and Supply on Stock Price Synchronicity
- Using Smooth Transition Regressions to Model Risk Regimes
- The Effect of IFRS Adoption on Acquisition Premiums: Evidence from Selected ASEAN Countries
- Predicting Credit Card Delinquencies: An Application of Deep Neural Networks
- Estimating the Tax-Timing Option Value of Corporate Bonds
- DCC-GARCH Model for Market and Firm-Level Dynamic Correlation in S&P 500
- Distilling the Signals: Leveraging LASSO for Finance Research
- Counterfactual Approach for Sequential Mediators in Mediation Analysis: A Suitable Methodological Approach for the Banking and Finance Literature?
- Nonlinear Effects of Temperature on Returns and Investor Optimism-Pessimism from Winner and Loser Stocks
- Volatility Spillovers during the Chinese Stock Market Crisis: A MEM-based Approach
- The Capitalised Generalised Autoregressive Conditional Heteroskedasticity
- The Paradoxical Prices of Options
- Convolution Approach for Value at Risk Estimation
- Analysis of Macquarie Group’s Value at Risk using GARCH Models
- Multi-modality in the Likelihood Function of GARCH Model
- Testing the Real Option Hypothesis on the Declining Open-market Repurchase Announcement Returns
- New Evidence to Assess the Asset Pricing Model: An Empirical Investigation Based on Bayesian Network
- Epstein-Zin, Weil Preferences and the Value of Information
- Factorial Price Discovery
- Alternative Methods of Measuring Real Earnings Management in R&D and SG&A Expenses
- Entropy and the Estimation of Joint Probability, Jeffrey Stokes
- Block Recursive Systems in Asset Pricing Models and Extension
- Sentimental Performance in the Listed Real Estate Industry
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