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Empirical Finance

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ISBN: 9783038977063 Year: Pages: 276 DOI: 10.3390/books978-3-03897-707-0 Language: eng
Publisher: MDPI - Multidisciplinary Digital Publishing Institute
Subject: Economics
Added to DOAB on : 2019-04-05 10:34:31
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Abstract

There is no denying the role of empirical research in finance and the remarkable progress of empirical techniques in this research field. This Special Issue focuses on the broad topic of “Empirical Finance” and includes novel empirical research associated with financial data. One example includes the application of novel empirical techniques, such as machine learning, data mining, wavelet transform, copula analysis, and TV-VAR, to financial data. The Special Issue includes contributions on empirical finance, such as algorithmic trading, market efficiency, market microstructure, portfolio theory and asset allocation, asset pricing models, liquidity risk premium, currency crisis, return predictability, and volatility modeling.

Keywords

text similarity --- text mining --- machine learning --- SVM --- neural network --- LSTM --- credit risk --- ensemble learning --- deep learning --- bagging --- random forest --- boosting --- deep neural network --- causality-in-variance --- cross-correlation function --- housing and stock markets --- algorithmic trading --- take profit --- stop loss --- MACD --- ATR --- city banks --- dependence structure --- copula --- n/a --- market microstructure --- price discovery --- latency --- currency crisis --- random forests --- wavelet transform --- predictive accuracy --- housing price --- bank credit --- housing loans --- real estate development loans --- TVP-VAR model --- exchange rate --- volatility --- exports --- ARDL --- Vietnam --- crude oil futures prices forecasting --- convolutional neural networks --- short-term forecasting --- utility of international currency --- inertia --- liquidity risk premium --- US dollar --- Japanese yen --- cointegration --- statistical arbitrage --- natural gas --- wholesale electricity --- futures market --- spark spread --- earnings management --- earnings manipulation --- earnings quality --- initial public offering --- IPO --- asset pricing model --- data mining --- bankruptcy prediction --- financial and non-financial variables --- institutional investors’ shareholdings --- panel data model --- piecewise regression model --- global financial crisis --- gold return --- asymmetric dependence --- financial market stress --- robust regression --- quantile regression --- structural break --- flight to quality

Applied Econometrics

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ISBN: 9783038979265 / 9783038979272 Year: Pages: 222 DOI: 10.3390/books978-3-03897-927-2 Language: eng
Publisher: MDPI - Multidisciplinary Digital Publishing Institute
Subject: Science (General) --- Mathematics
Added to DOAB on : 2019-06-26 08:44:06
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Although the theme of the monograph is primarily related to “Applied Econometrics”, there are several theoretical contributions that are associated with empirical examples, or directions in which the novel theoretical ideas might be applied. The monograph is associated with significant and novel contributions in theoretical and applied econometrics; economics; theoretical and applied financial econometrics; quantitative finance; risk; financial modeling; portfolio management; optimal hedging strategies; theoretical and applied statistics; applied time series analysis; forecasting; applied mathematics; energy economics; energy finance; tourism research; tourism finance; agricultural economics; informatics; data mining; bibliometrics; and international rankings of journals and academics.

Keywords

inflation --- postage stamps --- price recovery --- historical time series --- EGARCH --- FHA loan --- home mortgage --- foreclosure --- default and prepayment --- unobserved heterogeneity --- duration models --- competing risks --- earnings forecasts --- earnings announcements --- financial markets --- financial analysts --- nonparametric time series modeling --- nonlinearity --- unified time series algorithm --- exploratory diagnostics --- control environment --- budgetary system and strategies --- operational control --- company performance --- economic growth --- economic freedom --- foreign direct investment --- panel data --- cash payments --- efficiency --- denomination range --- JEL Classification --- E42 --- E58 --- managing of financial health --- risk of bankruptcy --- prediction methods --- post-communist countries --- Misery Index --- inflation --- unemployment --- Probit and Logit models --- Okun’s law --- multivariate regression models --- heavy-tailed data --- Mahalanobis distances --- maximum likelihood estimator --- independent multivariate Student distribution --- uncorrelated multivariate Student distribution --- derivatives market --- economic development --- Granger-causality tests --- vector error correction model (VECM) --- DOLS --- FMOLS --- income inequality --- economic growth --- middle income countries --- Granger causality test --- system GMM --- oil price --- exchange rate --- trade balance --- cointegration --- frequency domain causality --- Nigeria --- Fama-French factor model --- market microstructure --- trading behavior --- panel data factor model --- social network model --- risk spillover --- abnormal returns

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MDPI - Multidisciplinary Digital Publishing Institute (2)


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CC by-nc-nd (2)


Language

eng (2)


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2019 (2)