Overview
- Most comprehensive resource on the application of econometrics and statistics to finance to date - including theories, models and tools, and practical applications
- Features a variety of elements, including definitional terms and descriptive entries, thematic essays from authoritative contributors, and empirical methodologies
- Global in coverage, integrates concepts from the fields of economics, accounting, statistics, mathematics, and computer science
- Lead editor, C.F. Lee, is one of the most prolific and well-known authors in the field
- Includes supplementary material: sn.pub/extras
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Table of contents (99 entries)
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Front Matter
Keywords
About this book
​The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.​
Editors and Affiliations
About the editors
Cheng-Few Lee is a Distinguished Professor of Finance at Rutgers Business School, Rutgers University and was chairperson of the Department of Finance from 1988–1995. He has also served on the faculty of the University of Illinois (IBE Professor of Finance) and the University of Georgia. He has maintained academic and consulting ties in Taiwan, Hong Kong, China and the United States for the past three decades. He has been a consultant to many prominent groups including, the American Insurance Group, the World Bank, the United Nations and The Marmon Group Inc., Wintek Corporation and Polaris Financial Group, etc. Professor Lee founded the Review of Quantitative Finance and Accounting (RQFA) in 1990 and the Review of Pacific Basin Financial Markets and Policies (RPBFMP) in 1998, and serves as managing editor for both journals. He was also a co-editor of the Financial Review (1985–1991) and the Quarterly Review of Economics and Business (1987–1989). In the past thirty-two years, Dr. Lee has written numerous textbooks ranging in subject matter from financial management to corporate finance, security analysis and portfolio management to financial analysis, planning and forecasting, and business statistics. Dr. Lee has also published more than 200 articles in more than twenty different journals in finance, accounting, economics, statistics, and management. Professor Lee has been ranked the most published finance professor worldwide during 1953–2008.
Alice C. Lee is currently a Vice President in the Model Validation Group, Enterprise Risk Management, at State Street Corporation. Most recently, she was an Assistant Professor of Finance at San Francisco State University. She has over 20 years of experience and a diverse background, which includes academia, engineering, sales, and management consulting. Her primary areas of teaching and research are corporate finance and financial institutions. She is coauthor of Statistics for Business and Financial Economics, 2e (withCheng F. Lee and John C. Lee) and Financial Analysis, Planning and Forecasting, 2e (with Cheng F. Lee and John C. Lee). In addition, she has co-edited other annual publications including Advances in Investment Analysis and Portfolio Management (with Cheng F. Lee).
John C. Lee is a Microsoft Certified Professional in Microsoft Visual Basic and Microsoft Excel VBA. He has a Bachelor and Masters degree in accounting from the University of Illinois at Urbana-Champaign. John has worked over 20 years in both the business and technical fields as an accountant, auditor, systems analyst and as a business software developer. He is the author of the book on how to use MINITAB and Microsoft Excel to do statistical analysis which is a companion text to Statistics of Business and Financial Economics, of which he is one of the co-authors. In addition, he also published Financial Analysis, Planning and Forecasting, 2e (with Cheng F. Lee and Alice C. Lee). John has been a Senior Technology Officerat the Chase Manhattan Bank and Assistant Vice President at Merrill Lynch. Currently, he is the Director of the Center for PBBEF Research.
Alice C. Lee is currently a Vice President in the Model Validation Group, Enterprise Risk Management, at State Street Corporation. Most recently, she was an Assistant Professor of Finance at San Francisco State University. She has over 20 years of experience and a diverse background, which includes academia, engineering, sales, and management consulting. Her primary areas of teaching and research are corporate finance and financial institutions. She is coauthor of Statistics for Business and Financial Economics, 2e (withCheng F. Lee and John C. Lee) and Financial Analysis, Planning and Forecasting, 2e (with Cheng F. Lee and John C. Lee). In addition, she has co-edited other annual publications including Advances in Investment Analysis and Portfolio Management (with Cheng F. Lee).
John C. Lee is a Microsoft Certified Professional in Microsoft Visual Basic and Microsoft Excel VBA. He has a Bachelor and Masters degree in accounting from the University of Illinois at Urbana-Champaign. John has worked over 20 years in both the business and technical fields as an accountant, auditor, systems analyst and as a business software developer. He is the author of the book on how to use MINITAB and Microsoft Excel to do statistical analysis which is a companion text to Statistics of Business and Financial Economics, of which he is one of the co-authors. In addition, he also published Financial Analysis, Planning and Forecasting, 2e (with Cheng F. Lee and Alice C. Lee). John has been a Senior Technology Officerat the Chase Manhattan Bank and Assistant Vice President at Merrill Lynch. Currently, he is the Director of the Center for PBBEF Research.
Bibliographic Information
Book Title: Handbook of Financial Econometrics and Statistics
Editors: Cheng-Few Lee, John C. Lee
DOI: https://doi.org/10.1007/978-1-4614-7750-1
Publisher: Springer New York, NY
eBook Packages: Business and Economics
Copyright Information: Springer Science+Business Media New York 2015
Hardcover ISBN: 978-1-4614-7749-5
eBook ISBN: 978-1-4614-7750-1
Edition Number: 1
Number of Pages: CXII, 2897
Topics: Finance, general, Quantitative Finance, Statistics for Business, Management, Economics, Finance, Insurance, Econometrics