Empirical Techniques in Finance

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Springer Science & Business Media, Jan 17, 2006 - Business & Economics - 243 pages
This book offers the opportunity to study and experience advanced empi- cal techniques in finance and in general financial economics. It is not only suitable for students with an interest in the field, it is also highly rec- mended for academic researchers as well as the researchers in the industry. The book focuses on the contemporary empirical techniques used in the analysis of financial markets and how these are implemented using actual market data. With an emphasis on Implementation, this book helps foc- ing on strategies for rigorously combing finance theory and modeling technology to extend extant considerations in the literature. The main aim of this book is to equip the readers with an array of tools and techniques that will allow them to explore financial market problems with a fresh perspective. In this sense it is not another volume in eco- metrics. Of course, the traditional econometric methods are still valid and important; the contents of this book will bring in other related modeling topics that help more in-depth exploration of finance theory and putting it into practice. As seen in the derivatives analysis, modern finance theory requires a sophisticated understanding of stochastic processes. The actual data analyses also require new Statistical tools that can address the unique aspects of financial data. To meet these new demands, this book explains diverse modeling approaches with an emphasis on the application in the field of finance.

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NonParametric Method of Estimation
Unit Root Cointegration and Related Issues
VAR Modeling
Time Varying Volatility Models 67
StateSpace Models II
Discrete Time Model of Interest Rate
Global Bubbles in Stock Markets and Linkages
Forward FX Market and the Risk Premium
Equity Risk Premia from Derivative Prices 215

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About the author (2006)

Bhar is an Associate Professor in the School of Banking and Finance at The University of New South Wales in Australia.

Hamori is a Professor in the Graduate School of Economics at Kobe University in Japan.

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