Empirical Finance

• Main Author: Hamori, Shigeyuki (auth)
• Format: Electronic Book Chapter
• Language: English
• Published: MDPI - Multidisciplinary Digital Publishing Institute 2019
• Subjects: n/a; short-term forecasting; wavelet transform; IPO; volatility; US dollar; institutional investors' shareholdings; neural network; financial market stress; market microstructure; text similarity; TVP-VAR model; Japanese yen; convolutional neural networks; global financial crisis; deep neural network; cross-correlation function; boosting; causality-in-variance; flight to quality; bagging; earnings quality; algorithmic trading; stop loss; statistical arbitrage; ensemble learning; liquidity risk premium; gold return; futures market; take profit; currency crisis; spark spread; city banks; piecewise regression model; financial and non-financial variables; exports; data mining; latency; crude oil futures prices forecasting; random forests; wholesale electricity; SVM; random forest; bank credit; deep learning; Vietnam; inertia; MACD; initial public offering; text mining; bankruptcy prediction; exchange rate; asset pricing model; LSTM; panel data model; structural break; credit risk; housing and stock markets; copula; ARDL; earnings manipulation; machine learning; natural gas; housing price; asymmetric dependence; real estate development loans; earnings management; cointegration; predictive accuracy; robust regression; quantile regression; dependence structure; housing loans; price discovery; utility of international currency; ATR
• Online Access: DOAB: download the publication; DOAB: description of the publication

Summary

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.

Physical Description

1 electronic resource (276 p.)

ISBN

books978-3-03897-707-0
9783038977063

Access

Open Access