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Handbook of Research Methods and Applications in Empirical Finance

Edited by Adrian R. Bell, University of Reading, UK, Chris Brooks, University of Reading, UK and Marcel Prokopczuk, Leibniz University Hannover, Germany
This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples.
Extent: 504 pp
Hardback Price: $256.00 Web: $230.40
Publication Date: 2013
ISBN: 978 0 85793 608 0
Availability: In Stock
Paperback Price: $55.00 Web: $44.00
Publication Date: 2014
ISBN: 978 1 78254 017 5
Availability: In Stock

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  • Economics and Finance
  • Financial Economics and Regulation
  • Money and Banking
  • Research Methods in Economics
  • Research Methods
  • Research Methods in Economics
  • Research Methods
This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples.

Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered.

The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.
Contributors: E.I. Altman, M. Ammann, K. Anderson, A.R. Bell, C. Brooks, D.A. Carter, G. Cerqueiro, K. Chen, H. Degryse, D. Erdemlioglu, A. Golubov, M. Guidolin, Ó.T. Henry, T. Johann, A. Katsaris, S. Laurent, Y. Lee, W.S. Leung, H. Liu, P. Molyneux, C.J. Neely, D. Oesch, N. Olekalns, S. Ongena, D. Petmezas, S.-H. Poon, M. Prokopczuk, D.A. Rogers, M. Schmid, K.K. Shields, B.J. Simkins, S. Stanescu, L. Stentoft, N. Taylor, E. Theissen, N.G. Travlos, S.D. Treanor, R. Tunaru, J.O.S. Wilson, Y. Wu, W.T. Ziemba


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

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

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

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

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, Sébastien Laurent and Christopher J. Neely

17. Predicting Financial Distress of Companies: Revisiting the Z-Score and ZETA® Models
Edward I. Altman

18. Quantifying Time Variation and Asymmetry in Measures of Covariance Risk: A Simulation Approach
Ólan T. Henry, Nilss Olekalns and Kalvinder K. Shields