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Financial econometrics, mathematics, statistics, and financial technology: an overall view

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Abstract

Based upon my experience in research, teaching, writing textbooks, and editing handbooks and journals, this review paper discusses how financial econometrics, mathematics, statistics, and financial technology can be used in research and teaching for students majoring in quantitative finance. A major portion of this paper discusses essential content of Lee and Lee (Handbook of financial econometrics, mathematics, statistics, and machine learning, World Scientific, Singapore, 2020). Then Lee (From east to west: memoirs of a finance professor on academia, practice, and policy, World Scientific, Singapore, 2017), Lee et al. (Financial econometrics, mathematics and statistics, Springer, New York, 2019a; Machine learning for predicting default of credit card holders and success of kickstarters. Working paper, 2019b), and Lee and Lee (Handbook of financial econometrics and statistics, Springer, New York, 2015) are used to enhance the content of this paper. In addition, important and relevant papers, which have been published in different journals are also used to support the issues discussed in this paper. I have found the applications of financial econometrics, mathematics, statistics, and technology have improved drastically over the last five decades. Therefore, both practitioners and academicians need to update their skills in this area to compete in both financial market and academic research.

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Authors and Affiliations

  1. Rutgers University, New Brunswick, USA

    Cheng Few Lee

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  1. Cheng Few Lee
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Correspondence to Cheng Few Lee.

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This paper was delivered as a keynote speech at the 27th PBFEAM Conference in June 2019 at National Taiwan University. I appreciate the comments from the audience at the conference. In addition, the useful comments from Professors J. R. Chang, Cathy Y. H. Chen, Jack Francis, Wolfgang Karl Hardle, Nathan Joseph, Fu-Lai Lin, Xiaoxiao Tang, and Hai-Chin Yu are also appreciated.

Appendices

Appendix 1: Table of contents and keywords for the handbook entitled “Financial econometrics, statistics, technology and machine learning” (World Scientific 2020)

This appendix will cover the table of contents and important keywords for this handbook. Part A of this appendix covers the table of contents and Part B covers the keywords.

1.1 Part A: table of contents

  1. 1.

    Introduction

  2. 2.

    Do Managers Use Earnings Forecasts to Fill a Demand They Perceive From Analysts? by Orie Barron, Jian Cao, Xuguang Sheng, Maya Thevenot, and Baohua Xin

  3. 3.

    A potential benefit of increasing book–tax conformity: Evidence from the reduction in audit fees by Nantin Kuo and Cheng-Few Lee

  4. 4.

    Gold in Portfolio: A Long-Term or Short-Term Diversifier? by Fu-Lai Lin, Sheng Yung Yang, and Yu-Fen Chen

  5. 5.

    Econometric Approach To Financial Analysis, Planning, And Forecasting By Cheng-Few Lee

  6. 6.

    Forecast Performance of the Taiwan Weighted Stock Index: Update and Expansion by Deng-Yuan Yi, Hsiao-Yin Chen, and Cheng-Few Lee

  7. 7.

    Statistical Distributions and Option Bound Determination by Cheng-Few Lee and Peter Guangping Zhang

  8. 8.

    Measuring the collective correlation of a large number of stocks by Wei-Fang Niu and Henry Horng-Shing Lu

  9. 9.

    Key Borrowers Detected by the Intensities of Their Interactions by Fuad Aleskerov, Irina Andrievskaya, Alisa Nikitina, and Sergey Shvydun

  10. 10.

    Application of the Multivariate Average F Test to Examine Relative Performance of Asset Pricing Models with Individual Security Returns by Shafiqur Rahman and Matthew J. Schneider

  11. 11.

    Hedge Ratio and Time Series Analysis by Sheng-Syan Chen, Cheng-Few Lee, and Keshab Shresth

  12. 12.

    Applications of Intertemporal CAPM on International Corporate Finance and Mutual Fund Research by JR Chang, Cheng-Few Lee, and M W Huang

  13. 13.

    What Drives Variation in the International Diversification Benefits? A Cross-country Analysis” by Wan-Jiun Paul Chiou and Kuntara Pukthuanthong

  14. 14.

    A heteroskedastic Black-Litterman portfolio optimization model with views derived from a predictive regression by Wei-Hung Lin, Huei-Wen Teng, and Chi-Chun Yang

  15. 15.

    Pricing Fair Deposit Insurance: Structural Model Approach by Tzu Tai, Cheng-Few Lee, Tian-Shyr Dai, Keh Luh Wang, and Hong-Yi Chen

  16. 16.

    Application of Structural Equation Modeling in Behavioral Finance: A Study on the Disposition Effect by Chang Hsin-Hue

  17. 17.

    External Financing Needs and Early Adoption of Accounting Standards: Evidence from the Banking Industry by Sophia I-Ling Wang

  18. 18.

    Improving the Stock Market Prediction with Social Media via Broad Learning by Xi Zhang and Philip S. Yu

  19. 19.

    Sourcing Alpha In Global Equity Markets: Market Factor Decomposition And Market Characteristics by Dr. S.S. Mohanty

  20. 20.

    Support Vector Machines Based Methodology for Credit Risk Analysis by Jianping Li, Mingxi Liu, Cheng-Few Lee, and Dengsheng Wu

  21. 21.

    Data Mining Applications in Accounting and Finance Context by Wikil Kwak, Yong Shi, and Cheng-Few Lee

  22. 22.

    Tradeoff between reputation concerns and economic dependence for auditors—Threshold regression approach by Fang-Chi Lin, Chin-Chen Chien, Cheng-Few Lee, Hsuan-Chu Lin, and Yu-Cheng Lin

  23. 23.

    The ASEAN Economic Community: Analysis Based On Fractional Integration And Cointegration by Luis Alberiko Gil-Alana, University of Navarra and Hector Carcel, Bank of Lithuania

  24. 24.

    Alternative Methods for Determining Option Bounds: A Review and Comparison by Cheng-Few Lee, Zhaodong Zhong, Tzu Tai,and Hongwei Chuang

  25. 25.

    Financial Reforms and The Differential Impact of Foreign versus Domestic Banking Relationships on Firm Value by Hai-Chin Yu, Cheng-Few Lee and Ben Sopranzetti

  26. 26.

    Time-Series Analysis: Components, Models, and Forecasting by Cheng-Few Lee

  27. 27.

    Itô’s Calculus and the Derivation of the Black Option-Pricing Model-Scholes by Malliaris A.G. and George Chalamandaris

  28. 28.

    Durbin-Wu-Hausman Specification Tests by Robert H. Patrick

  29. 29.

    Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession by Jessica Schlossberg and Norman R. Swanson

  30. 30.

    Earnings Forecasts and Revisions, Price Momentum, and Fundamental Data: Further Exploration of Financial Anomalies by John B. Guerard Jr. and Andrew Mark

  31. 31.

    Ranking Analysts by Network Structural Hole by Re-Jin Guo, Yingda Lu, and Lingling Xie

  32. 32.

    The Association Between Book-Tax Differences and CEO Compensation by Kin-Wai Lee and Gillian Hian-Heng Yeo

  33. 33.

    Stochastic Volatility Models: Faking a Smile by Dean Diavatopoulos and Oleg Sokolinskiy

  34. 34.

    Entropic Two-Asset Option by Tumellano Sebehela

  35. 35.

    The Joint Determinants of Capital Structure and Stock Rate of Return: A LISREL Model Approach by Hong-Yi Chen, Cheng-Few Lee and Tzu Tai

  36. 36.

    Time–Frequency Wavelet Analysis of Stock Market Co-Movement Between and Within Geographic Trading Blocs by Bilel Kaffel and Fathi Abid

  37. 37.

    Alternative errors-in-variables models and their applications in finance research by Hong-Yi Chen, Alice C. Lee, and Cheng-Few Lee

  38. 38.

    Simultaneously Capturing Multiple Dependence Features in Bank Risk Integration: A Mixture Copula Framework by Xiaoqian Zhu, Dengsheng Wu, Jianping Li

  39. 39.

    GPU Acceleration for Computational Finance by Chuan-Hsiang Han

  40. 40.

    Does VIX Truly Measure Return Volatility? by K. Victor Chow, Wanjun Jiang, and Jingrui Li

  41. 41.

    An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model by Yu-Ting Chen, Cheng-Few Lee, and Yuan-Chung Sheu

  42. 42.

    How Does Investor Sentiment Affect Implied Risk-Neutral Distributions of Call and Put Options? by Wen-Ming Szu, Yi-Chen Wang, and Wan-Ru Yang

  43. 43.

    Intelligent Portfolio Theory and Strength Investing in the Confluence of Business & Market Cycles and Sector & Location Rotations by Heping Pan

  44. 44.

    Evolution Strategy Based Adaptive Lq Penalty Support Vector Machines with Gauss Kernel for Credit Risk Analysis by Jianping Li, Gang Li, Dongxia Sun, and Cheng-Few Lee

  45. 45.

    Product Market Competition And CEO Pay Benchmarking by Ivan E. Brick and Darius Palia

  46. 46.

    Equilibrium Rate Analysis of Cash Conversion Systems: The Case of Corporate Subsidiaries by Weiwei Chen, Benjamin Melamed, Oleg Sokolinskiy, and Ben Sopranzetti

  47. 47.

    Is the market portfolio mean–variance efficient? by Robert R. Grauer

  48. 48.

    Consumption-Based Asset Pricing with Prospect Theory and Habit Formation by Jr-Yan Wang and Mao-Wei Hung

  49. 49.

    An Integrated Model for the Cost-Minimizing Funding of Corporate Activities over Time by Prof. Manak C. Gupta

  50. 50.

    Empirical Studies of Structural Credit Risk Models and the Application in Default Prediction: Review and New Evidence by Han-Hsing Lee, Ren-Raw Chen, and Cheng-Few Lee

  51. 51.

    Empirical Performance of the Constant Elasticity Variance Option Pricing Model by Ren Raw Chen, Cheng-Few Lee, and Han-Hsing Lee

  52. 52.

    The Jump Behavior of Foreign Exchange Market: Analysis of Thai Baht by Jow-Ran Chang, Mao-Wei Hung,Cheng-Few Lee, and Hsin-Min Lu

  53. 53.

    The Revision Of Systematic Risk On Earnings Announcement In The Presence of Conditional Heteroscedasticity by Chin-Chen Chien, Cheng-Few Lee, and She-Chih Chiu

  54. 54.

    Applications of Fuzzy Set to International Transfer Pricing and Other Business Decisions by Wikil Kawk and Yong Shi, Seesok Lee and Cheng-few Lee

  55. 55.

    A time-series bootstrapping simulation method to distinguish sell-side analysts’ skill from luck by Chen Su and Hanxiong Zhang

  56. 56.

    Acceptance Of New Technologies By Employees In Financial Industry by Veronika Belousova, Vasily Solodkov, Nikolay Chichkanov, and Ekaterina Nikiforova

  57. 57.

    Alternative Method for Determining Industrial Bond Ratings: Theory and Empirical Evidence by Lie-Jane Kao and Cheng-Few Lee

  58. 58.

    An Empirical Investigation of the Long Memory Effect on the Relation of Downside Risk and Stock Returns by Cathy Yi-Hsuan Chen and Thomas C. Chiang

  59. 59.

    Analysis of Sequential Conversions of Convertible Bonds: A Recurrent Survival Approach by Lie-Jane Kao, Li-Shya Chen, and Cheng-Few Lee

  60. 60.

    Determinants of euro-area bank CDS spreads by Maria-Eleni K. Agoraki, Dimitris A. Georgoutsos, and George T. Moratis

  61. 61.

    Dynamic Term Structure Models Using Principal Components Analysis Near The Zero Lower Bound by Januj A. Juneja

  62. 62.

    Effects Of Measurement Errors On Systematic Risk And Performance Measure Of A Portfolio by Cheng-Few Lee and Frank C. Jen

  63. 63.

    Forecasting Net Charge-Off Rates of Banks: A PLS Approach by James R. Barth, Sunghoon Joo, Hyeongwoo Kim, Kang Bok Lee, Stevan Maglic, and Xuan Shen

  64. 64.

    Application of Filtering Methods in Asset Pricing by Hao Chang and Yangru Wu

  65. 65.

    Sampling Distribution of the Relative Risk Aversion Estimator: Theory and Applications by Marvin J. Karson, David C. Cheng, And Cheng-Few Lee

  66. 66.

    Social Media, Bank Relationships and Firm Value by Chia-Hui Chao and Hai-Chin Yu

  67. 67.

    Splines, Heat, and IPOs: Advances in the Measurement of Aggregate IPO Issuance and Performance by Zachary A. Smith, PhD, Mazin A. M. Al Janabi, PhD, and Muhammad Z. Mumtaz, PhD

  68. 68.

    The Effects Of The Sample Size, The Investment Horizon And Market Conditions On The Validity Of Composite Performance Measures: A Generalization by Son-Nan Chen and Cheng-Few Lee

  69. 69.

    The Sampling Relationship Between Sharpe’s Performance Measure And Its Risk Proxy: Sample Size, Investment Horizon And Market Conditions by Son-Nan Chen and Cheng-Few Lee

  70. 70.

    VG NGARCH versus GARJI Model For Asset Price Dynamics by Lie-Jane Kao and Cheng-Few Lee

  71. 71.

    Why Do Smartphones And Tablets Users Adopt Mobile Banking by Veronika Belousova and Nikolay Chichkanov

  72. 72.

    Non-parametric Inference on Risk Measures for Integrated Returns by Henghsiu Tsai, Hwai-Chung Ho, and Hung-Yin Chen

  73. 73.

    Copulas And Tail Dependence In Finance by Wing-Choong Lai and Kim-Leng Goh

  74. 74.

    Some Improved Estimators of Maximum Squared Sharpe Ratio by Siu Kai Choy and Bu-qing Yang

  75. 75.

    Errors-in-Variables and Reverse Regression by Shafiqur Rahman and Cheng-Few Lee

  76. 76.

    The role of financial advisors in M&As: Do domestic and foreign advisors differ? by Kai-Shi Chuang

  77. 77.

    Discriminant Analysis, Factor Analysis, And Principal Component Analysis: Theory, Method, And Applications by Cheng-Few Lee

  78. 78.

    Credit Analysis, Bond Rating Forecasting, And Default Probability Estimation by Cheng-Few Lee

  79. 79.

    Market Model, CAPM, And Beta Forecasting by Cheng-Few Lee

  80. 80.

    Utility Theory, Capital Asset Allocation, and Markowitz Portfolio-Selection Model by Cheng-Few Lee

  81. 81.

    Single-Index Model, Multiple-Index Model, and Portfolio Selection by Cheng-Few Lee

  82. 82.

    Sharpe Performance Measure and Treynor Performance Measure Approach to Portfolio Analysis by Paul Chiou and Cheng-Few Lee

  83. 83.

    Options and Option Strategies: Theory and Empirical Results by Cheng-Few Lee

  84. 84.

    Decision Tree and Microsoft Excel Approach for Option Pricing Model by Jow-Ran Chang and John Lee

  85. 85.

    Statistical Distributions, European Option, American Option, and Option Bounds by Cheng-Few Lee

  86. 86.

    A Comparative Static Analysis Approach to Derive Greek Letters: Theory and Applications by Cheng-Few Lee

  87. 87.

    Fundamental Analysis, Technical Analysis, and Mutual Fund Performance by Cheng-Few Lee

  88. 88.

    Bond Portfolio Management, Swap Strategy, Duration, and Convexity by Cheng-Few Lee

  89. 89.

    Synthetic Options, Portfolio Insurance, and Contingent Immunization by Cheng-Few Lee

  90. 90.

    Alternative Security Valuation Model: Theory and Empirical Results by Cheng-Few Lee

  91. 91.

    Opacity, Stale Pricing, Extreme Bounds Analysis, and Hedge Fund Performance: Making Sense of Reported Hedge Fund Returns by Zachary A. Smith, Mazin A. M. Al Janabi, Muhammad Z. Mumtaz

  92. 92.

    Does Quantile Co-integration Exist between Spot and Futures Gold Prices? by Hai-Chin Yu, Chia-Ju Lee, and Der-Tzon Hsieh

  93. 93.

    Bayesian Portfolio Mean–Variance Efficiency Test with Sharpe Ratio’s Sampling Error, by LieJane Kao, Huei Ching Soo and Cheng-Few Lee

  94. 94.

    Does Revenue Momentum Drive or Ride Earnings or Price Momentum? by Hong-Yi Chen, Sheng-Syan Chen, Chin-Wen Hsin and Cheng-Few Lee

  95. 95.

    Technical, Fundamental, and Combined Information for Separating Winners from Losers, by Hong-Yi Chen, Cheng-Few Lee, and Wei K. Shih.

  96. 96.

    Optimal Payout Ratio under Uncertainty and the Flexibility Hypothesis: Theory and Empirical Evidence by Cheng-Few Lee, Manak C. Gupta, Hong-Yi Chen, and Alice C. Lee.

  97. 97.

    Sustainable Growth Rate, Optimal Growth Rate, and Optimal Payout Ratio: A Joint Optimization Approach by Hong-Yi Chen, Manak C. Gupta, Alice C. Lee and Cheng-Few Lee

  98. 98.

    Cross-sectionally correlated measurement errors in two-pass regression tests of asset-pricing models by Thomas Gramespacher, Armin Bänziger, and Norbert Hilber

  99. 99.

    “Asset Pricing with Disequilibrium Price Adjustment: Theory and Empirical Evidence,” (with Chiung-Min Tsai and Alice C. Lee), Quantitative Finance, Volume 13, Number 2, Pages 227–240, 2013.

  100. 100.

    “A Dynamic CAPM with Supply Effect Theory and Empirical Results,” (with Chiung-Min Tsai and Alice C. Lee), Quarterly Review of Economic and Finance, Volume 49, Issue 3, August 2009, Pages 811–828.

  101. 101.

    Estimation Procedures of Using Five Alternative Machine Learning Methods for Predicting Credit Card Default by Michael Lee and Huei-Wen Teng

  102. 102.

    Alternative Methods to Derive Option Pricing Models: Review and Comparison by Cheng-Few Lee and Yibing Chen

  103. 103.

    “Option Prices and Stock Market Momentum: Evidence from China” with Jianping Li, Yanzhen Yao, and Yibing Chen, Quantitative Finance, Published online: 23 Apr 2018

  104. 104.

    Advancement of Optimal Portfolios with Short-sales and Transaction Costs: Modeling and Effectiveness by Paul Chiou and Jing-RungYu

  105. 105.

    The path leading up to the new IFRS 16 leasing standard: how was the restructuring of lease accounting received by different advocacy groups? By Christian Blecher and Stephanie Kruse

  106. 106.

    Implied Variance Estimates For Black–Scholes And CEV OPM: Review And Comparison by Cheng-Few Lee, Yibing Chen,and John Lee

  107. 107.

    Crisis Impact on Stock Market Predictability by Rajesh Mohnot

  108. 108.

    How Many Good and Bad Funds Are there, Really? Wayne Ferson and Yong Chen

  109. 109.

    Constant Elasticity Of Variance Option Pricing Model: Integration And Detailed Derivation by Y.L. Hsu, T.I. Lin, and Cheng-Few Lee

  110. 110.

    An Integral-Equation Approach For Defaultable Bond Prices With Application To Credit Spreads by Yu-Ting Chen, Cheng-Few Lee, and Yuan-Chung Sheu

  111. 111.

    Sample Selection Issues and Applications by Hwei-Lin Chuang and Shih-Yung Chiu

  112. 112.

    Time Series and Neural Network Analysis by K. C. Tseng, Ojoung Kwon, and Luna C. Tjung

  113. 113.

    Covariance Regression Model for Non-normal Data by Tao Zou, Ronghua Luo,Wei Lan and Chih-Ling Tsai

  114. 114.

    Impacts of Time Aggregation on Beta Value and R Squared Estimations Under Additive and Multiplicative Assumptions: Theoretical Results and Empirical Evidence by Yuanyuan Xiao, Yushan Tang, and Cheng-Few Lee

  115. 115.

    Large-sample Theory by Sunil S. Poshakwale and Anandadeep Mandal

  116. 116.

    Impacts of Measurement Errors on Simultaneous Equation Estimation of Dividend and Investment Decisions by Cheng-Few Lee and Fu-Lai Lin

  117. 117.

    Big data and Artificial Intelligence in Banking Industry by T. Robert Yu and Xuehu (Jason) Song

  118. 118.

    A Non-Parametric Examination of Emerging Markets Financial Integration by Ke Yang, Susan Wahab, Bharat Kolluri, and Mahmoud Wahab

  119. 119.

    ALAN—Algorithmic Analyst An application for Artificial Intelligence Content as a Service by Ted Hong, Daniel Lee, Wen-Ching Wang

  120. 120.

    Survival Analysis: Theory and Applications in Finance by Feng Gao and Xiaomin He

  121. 121.

    Pricing Liquidity in the Stock Market by Ding Du and Ou Hu

  122. 122.

    The Evolution of Capital Asset Pricing Models: Update and Extension by Yi-Cheng Shih, Sheng-Syan Chen, Cheng-Few Lee, and Po-Jung Chen

  123. 123.

    The Multivariate GARCH Model and Its Application to East Asian Financial Market Integration by Yoshihiko Tsukuda, Junji Shimada, and Tatsuyoshi Miyakoshi

  124. 124.

    Review of Difference-in-Difference Analyses in Social Sciences: Application in Policy Test Research by William H. Greene and Min (Shirley) Liu

  125. 125.

    Using Smooth Transition Regressions to Model Risk Regimes by Liam A. Gallagher, Mark C. Hutchinson, and John O’Brien

  126. 126.

    Application of Discriminant Analysis, Factor Analysis, Logistic Regression, and KMV-Merton Model in Credit Risk Analysis by Cheng-Few Lee

  127. 127.

    Predicting Credit Card Delinquencies: An Application of Deep Neural Networks by Ting Sun and Miklos A. Vasarhalyi

  128. 128.

    Estimating the Tax-Timing Option Value of Corporate Bonds by Peter Huaiyu Chen, Sheen Liu, and Chunchi Wu

  129. 129.

    DCC-GARCH Model for Market and Firm-Level Dynamic Correlation in S&P 500 by Peimin Chen, Chunchi Wu, and Ying Zhang

  130. 130.

    Using Path Analysis to Integrate Accounting and Non-Financial Information: The Case for Revenue Drivers of Internet Stocks by Anthony Kozberg

  131. 131.

    The Implications Of Regulation In The Community Banking Sector: Risk And Competition by Gregory McKee and Albert Kagan

1.2 Part B: Keywords

The number following each keyword indicates the chapter where the keyword can be found.

Accounting beta (79), Acquisitions (116), Adaptive penalty (44), Additive and Multiplicative Rates of Return (114), Advocacy Groups (105), AI Content as a Service (AICaaS) (119), Algorithmic bias (117), American option (84, 85), American options (24), Analyst coverage network (31), Analyst recommendation revisions (55), Analysts’ information (2), Analytic hierarchy process (21), Announcement returns (76), Approximation Approach (106), ARCH (119), ARCH & GARCH (107), ARCH (Autoregressive conditional heteroscedasticity) (11), ARCH method (11), Archimedean copula (73), ARIMA (119), ARIMA-GARCH model (6), ARIMA models (87), Artificial intelligence (101, 117, 127), Artificial Regression (28), ASEAN (23), Asian financial crisis (52), Asset (100), Asset allocation (80), Asset Portfolio (43), Asset pricing (10, 12, 98), Asset Pricing Tests (1), Asymmetric Information (66), Asymmetric taxes (128), Audit fees (3, 22), Audit opinion prediction (21), Auditor change (21), Auditor independence (22), Auditor reputation (22), and Autoregressive forecasting model (26).

Balance of trade (23), Bank credit risk (60), Bank regulatory compliance (117), Bank Relationships (66), Bank risk (38), Banking (56), Bankruptcy (15, 21), Banks (17), Barrier option (15), Basel committee on banking supervision (38), Bayes estimation (74), Bayes factor (93), Bayes rule (108), Bayesian Approach (37), Bayesian factor (52), Bayesian net (21), Bayesian test (93), Behavior finance (122), Behavioral finance (16), Beta coefficient (81), Betting Against Beta (19), Big data (21, 117), Binomial option pricing model (84, 102), Bipower variation tests (29), Black-Litterman model (14), Black–Scholes model (84), Black–Scholes option pricing model (102), Bond price (110), Bond strategies (88), Book–tax conformity (3), Book-tax differences (32), Book-to-market (10, 121), Booting (101), Bootstrap (108), BOS ratio (95), Box–Cox transformation (1), and Box-Jenkins ARIMA Methodology (112).

Calendar (Time) Spreads (83), Calibration (33), Call option (84), Capital Asset Pricing Model (19, 37), Capital gain (128), Capital structure (35, 37), Capital-Rationed Firms (46), CAPM (53, 79, 100), CARA utility function (11), Cash Conversion Cycle (46), Cash Conversion System (46), Causal inference (124), Centrality (9), CEO compensation (32, 45), CEO talent (45), CEV Model (106), China (21), Classical Method (37), Clayton copula (73), Clustering effect model (1), Coefficient Determination (114), Cognitive biases (16), Coincident indicators (26), Co-integration and error assertion method effectiveness (11), Collar (83), Collective correlation (8), Combination forecasting model (6), Combined investment strategy (95), Comment Letters (105), Commodity diversifier (4), Common stock valuation (90), Commonality (2), Community bank (131), Component analysis (87), Composite forecasting (79, 87), Computational finance (39), Concave utility function (80), Conditional multivariate F test (93), Conditional tail expectation (72), Conditional Value at Risk model (104), Confidence index (87), Confirmatory factor analysis (CFA) (35), Conservative-Minus-Aggressive (19), Constant Elasticity of Variance Model (109), Constant–Elasticity-of-Variance (CEV) process (51), Consumer sentiment (42), Consumption-based asset pricing model (48), Contagion (129), Continuous wavelet analysis (4), Corporate governance (32), Correlation (118), Correlation breakdown (8), Cost of Capital (37, 100), Cost-minimization (49), Covariance (81), Covariance Regression Model (113), Covered Call (83), Cox Process (34), Credit analysis (78), Credit card (101), Credit Card Delinquency (127), Credit Default Swaps (60), Credit risk (38, 101), Credit risk classification (20, 44), Credit spread (110), Credit-scoring model (57), Cross section of stock returns (121), Cross-section data (26), CRSP value-weighted index (93), Currency risk (12), and Cyclical component (26).

Data mining (21, 55), DCC-GARCH model (123), DCC-MVGARCH (129), Debt-like signal (59), Decision Table (21), Decision tree (21, 101), Decomposition of estimated regression coefficient (62), Deep Learning (119), Deep Neural Network (127), Default (101), Default barrier (110), Default Prediction (50), Default probability (78, 126), Default risk (128), Delinquency (101), Delta (∆) (86), Demand function (99, 122), Deposit insurance (15), Difference-in-differences (124), Dimension reduction (8), Direct and reverse regression (75), Direct effect (130), Disclosure and counter-signaling (17), Discounted value (49), Discriminant analysis (77, 78, 126), Discriminatory power (57), Disequilibrium effect (99), Disequilibrium estimation method (1), Disequilibrium model (99), Disposition effect (16), Disruptive technologies (56), Distributed Lag Models (91), Diversification (116), Diversification benefits (13), Dividend Policy (97, 116), Dividends (96), Dodd-Frank (131), Domestic and foreign advisors (76), Dow theory (87), Down-and-Out Barrier model (50), Downside risk (58), DTSM (Dynamic term structure models) (61), Due Process (105), Duration (88), Durbin, Wu, Hausman (DWH) Specification Tests (28), Dynamic capital budgeting decision (5), Dynamic CAPM (122), Dynamic conditional correlation (123, 129), Dynamic conditional variance decomposition (123), Dynamic Factors (63), and Dynamic hedging (89).

Early adoption (17), Earnings forecasts (30), Earnings management (32), Earnings revisions (30), Earnings Surprises (94), East Asian bond and stock markets (123), Econometric and statistical methods (47), Efficiency (131), Efficiency hypothesis (32), EGARCH model (14), Elliptical copula (73), Emerging markets (25), Empirical methods (131), Empirical performance (51), Employees (56), Endogeneity (28), Endogenous industry structure (45), Endogenous supply (100), Endogenous variables (5), Equality of tail risks (72), Equity-like signal (59), Error correction model (6), Errors-in-Variables (37, 75, 98, 116), Estimate Implied Variance (106), Estimation (116), Estimation Approach (50), Estimation Stability (114), ETFs (29), Euler equations (12), European options (24, 84), Event extraction (18), Evolution strategy (44), Ex ante probability (70), ex Post Sharpe ratio (93), Exactly identified (100), Ex-ante moments (40), Excel program (84), Excel VBA (84), Excess returns (29), Exchange Option (34), Exogenous variables (5), Expected discounted penalty (41), Expected payoff (7), Explanatory power (57), Exponential smoothing (26), Exponential smoothing constant (26), Extended Kalman Filter (64), External financing (17), Extra-legal institution (3), and Extreme Bound Analysis (91).

Factor analysis (77, 78, 126), Factor attributes (119), Factor loading (10, 77, 78), Factor models (10), Factor score (77), False discovery rates (108), Fama and French factor models (121), FDIC (15), Feature extraction (20), Feltham-Ohlson model (90), Finance—Investment (69), Financial constraints (49), Financial Crisis (107), Financial Econometrics (61), Financial market integration (123), Financial mathematics (1), Financial ratios (90), Financial reform (25), Financial statement analysis (95), Financial statistics (1), Financial technology (1), Financial z-score (78, 126), Financing costs (49), Finite sample (74), Finite difference method of the SV model (51), Firm Value (66), First-difference method (124), Fixed Effects (FE) (28), Fixed-effects model (96), Flexibility hypothesis (96), Forecast timeliness (31), Forecasting Stock Prices (112), Foreign bank debt (25), Foreign bank relationships (25), Fractional integration (23), Francis and Rowell model (90), Fund performance (108), Fundamental analysis (87, 95, 112), Funding decisions (49), Funding requirements (49), Future Contract (92), Fuzzy set (21, 54), and Fuzzy regression (1).

Gamma () (86), GARCH (1,1) (123), GARCH (Generalized Autoregressive conditional heteroscedasticity) (11), GARCH method (11), GARCH model (14), GARCH-jump (70), GARJI model (70), Gaussian copula (73), Gauss-Markov conditions (115), Generalize fluctuation (1), Generalized Method of Moments (GMM) (28), Global financial market integration (118), Global investing (119), Goal programming (57), Gold (4, 92), Goodness of fit (108), GPU (39), Great Recession (29), Grouping Method (37), Growth Rate (97), GRS test (10), Gumbel copula (73), GV-Spread (40), GVIX Index (40), Habit formation (48), Hazard model (78, 126), Heckman’s Two-Stage Estimation (111), Hedge Fund (108, 125), Hedge Funds Performance (91), Hedge ratio (11), Hedging (86), Herding Behaviors (113), Heteroskedasticity (52), High frequency data (39), High-frequency data (29), High-frequency jumps (29), High-Minus-Low (19), High-ranked analysts (31), Holt/Winters Exponential Smoothing (112), Holt–Winters forecasting model (26), and Hyper-parameter optimization (20).

Identification (28), Identification problem (116), Idiosyncratic standard deviation (78), Idiosyncratic risk (98), Implied risk-neutral distribution (42), Implied volatility (39, 40), Implied volatility Smile/skew/surface (33), Implied volatility spread (103), Incomplete market (24), Indifference curve (80), Indirect effect (130), Industry portfolios (121), Inference (72), Information fusion (18), Initial Public Offerings (67), Instrumental Variable Method (37), Instrumental Variables (IV) (28), Insurance premium (15), Integrated process (72), Intelligent Portfolio Theory (43), Intention (71), Interconnectedness (9), Interest-rate anticipation swap (88), Intermarkert-spread swap (88), Internal Capital Market (46), Internal control weakness (21), International CAPM (122), International finance (12), International portfolio (13), International stock market linkage (36), Internet stock (130), Intertemporal (12), Intertemporal CAPM (122), Intervention (6), Inverse Fourier Transform and Poisson Process (34), Investment (10, 13, 121), Investment banks (76), Investment constraints (13), Investment decision (116), Investment Eq. (37), Investment Horizon (68), Investment horizons (4), Investor sentiment (42), IPO Issuance and Performance (67), Irregular component (26), and Itô’s lemma (27).

Japan (21), Jump (52), Jump diffusion (110), Jump risks (29), Jump spillover (29), Jump-diffusion (41), Kalman filter (53, 64), Kernel function selection (20), Kernel Smoothing (108), Key borrower (9), KMV-Merton model (78, 126), K-nearest neighbours (101), Korea (21), Kruskal–Wallis Test (105), Kurtosis (7), Lagging indicators (26), Lagrangian calculus maximization (81), Lagrangian multipliers (82), Lagrangian objective function (80), Large-sample theory (115), Leading indicators (26), Lease Accounting (105), Leverage effect (58), Linear programming (7, 24, 81), Linear utility function (80), Linear-equation system (77), Liquidity risk (10), Liquidity shocks (121), Liquidity-based CAPM (122), LISREL (35), LISREL Method (37), Logistic Equation (97), Logistic regression (126), Logit (21), Logit model (78), Logit regression (1), Log-normal distribution (85), Lognormal distribution method (102), Long call (83), Long memory (23, 58), Long Put (83), Long Straddle (83), Long Vertical (Bull) Spread (83), Loss aversion (48), Low interest rate environment (61), Lower bound (7), and LSTM (119).

Machine learning (101, 117, 119, 127), Make-to-Stock Inventory (46), Management earnings forecasts (2), Managerial implications (131), Mann–Whitney Test (105), Market beta (79), Margrabe Model (34), Market model (79, 81), Market portfolio (10), Market risk (38), Markovian Models (46), Markowitz modern portfolio theory (14), Mathematical Programming Method (37), Matlab (39), MATLAB Approach (106), Matrices (77), Maturity (88), Maximum likelihood estimation (50, 73), Maximum Likelihood Estimation (MLE) (50), Maximum likelihood estimator (65, 99), Maximum Likelihood Method (37), Maximum mean extended-gini coefficient hedge ratio (11), Mean Reverting Process (97), Mean squared error (26), Mean–variance capital asset pricing (47), Mean–variance efficiency (93), Measurement Error (28, 37, 62, 75, 98), Mental accounting (16), Mergers (116), Mergers and acquisitions (76), Merton distance model (126), MINIMAX goal programming (57), Minimum generalized semi-variance hedge ratio (11), Minimum value at risk hedge ratio (11), Minimum variance hedge ratio (11), Minimum variance unbiased estimator (65), Mixture copula (38), Mixture Kalman Filter (64), Mobile banking (71), Model of Ang and Piazzesi (2003) (61), Model of Joslin et al. (2013) (61), Model of Joslin et al. (2011) (61), Moderating effect (16), Momentum (10, 19, 121), Momentum factor (103), Momentum Strategies (94, 95), Money market liquidity premium (121), Moral hazard (15), Moving average (87), Multi variable spew-normal distribution method (11), Multi-Factor Risk model (119), Multinomial Logit Model (111), Multiperiod dynamic CAPM (99), Multiple criteria and multiple constraint level (MC2) linear programming (54), Multiple criteria linear programming data mining (21), Multiple discriminant analysis (21), Multiple factor transfer pricing model (54), Multiple-index model (81), Multivariate Discriminant Analysis (MDA) (78), Multivariate F test (10), Multivariate GARCH (129), Multivariate log-normal distribution (85), Multivariate normal distribution (85), Multi-factor and multi-indicator (MIMIC) model (1), and Mutual fund (108).

Natural Language Generation (119), Natural language processing (21), Net Charge-Off Rates (63), Neural network (101), Neural Network Model (112), NLG (119), Non parametric tests (28), Nonaudit fees (22), Noncentral Chi Square Distribution (109), Nonlinear regression (1), Noncentral t distribution (65, 69), Non-Financial Information (130), Non-normal Data (113), Non-parametric (24), Non-parametric method (120), Non-parametric regression (118), Non-systematic risk (79), Normal distribution (85), N-Period OPM (84), Numerical experiment (51), Odd-Lot theory (87), OLS (45), Omega model (104), Omitted Variables (28), One-period OPM (84), Operating profitability (121), Operational risk (38), Optimal capital structure (41), Optimal financial policy (49), Optimization (49), Optimum mean variance hedge ratio (11), Optimum mean MEG hedge ratio (11), Option (128), Option bound (7, 85), Option bounds (24), Option price (103), Option pricing (33, 109), Option pricing model (51), Options pricing (27), and Out-of-Sample Forecasts (63).

Panel Data (28), Panel vector auto-regressions (60), Parallel computing (39), Parametric method (120), Partial adjustment (100), Partial Adjustment Model (97), Partial Least Squares (63), Particle Filter (64), Partition function (8), Past stock returns (103), Path analysis (1, 130), Payout policy (96), Payout Ratio (97), PCA (Principal components analysis) (61), PCDTSM (Principal component-based DTSM) (61), Peer Benchmarking (45), Percentage of moving average (26), Performance Manipulation (91), Performance measure (62), Phase-type distribution (41), Planning horizon (49), Poisson regression (1), Policy (15), Policy analyses (124), Portfolio (69), Portfolio construction (30), Portfolio management (30), Portfolio optimization (30), Portfolio selection (104), Portfolio theory (30), Post-Earnings-Announcement Drift (94), Post-earnings-announcement drifts (53), Power index (9), Predictability (107), Price pressure (103), Principal Component Analysis (63), Principal components model (118), Probability integral transform (73), Probability limit for regression coefficient (62), Probit (21), Probit Model (111, 126), Probit regression (1), Product market competition (45), Production cost (90), Profitability (10), Prospect theory (48), Protective Put (83), Pure-yield-pickup swap (88), Put option (84), Put options (89), Put-call parity (83), Put–call parity (42), and Python (101).

Quadratic cost (100), Quality-Minus-Junk (19), Quantile (25, 72), Quantile Co-integrated (92), Quantitative analysis (18), Random Coefficient Model (114), Random coefficient method (11), Random Effects (RE) (28), Realized variation (33), Recurrent survival analysis (59), Reduced-form (100), Regime-switching GARCH method (11), Regret avoidance (16), Related Mergers (116), Relative risk aversion distribution (65), Rent-seeking hypothesis (32), Revenue Surprises (94), Rho (\(\rho\)) (86), Risk Assessment (127), Risk aversion (80), Risk dependence (38), Risk integration (38), Risk management (38, 129), Risk-free rate (82), Risk-mitigating effect (59), Risk-return tradeoff (58), Risk-shifting (59), RNN (119), Robo-advisor (117), Robust Hausman (28), Robust standard errors that incorporate firm-level clustering (45), and Robust-Minus-Weak (19).

Sample estimators (115), Sample properties (115), Sample Selection Bias (111), Sample Size (68), Sarbanes–Oxley (131), Scoring system (119), Seasonal component (26), Seasonal index (26), Seasonal index method (26), Sector & Location Rotation (43), Security market line (122), Seemingly Unrelated Regression (SUR) (25, 100), Self-Control (16), Sell-side analysts (55), Semi-parametric (24), Semi-parametric method (7, 120), Semi-parametric regressions (118), Sentiment analysis (18), Sequential Conversion (59), Shape parameter (70), Sharpe (68), Sharpe hedge ratio (11), Sharpe performance measure (82), Sharpe ratio (74), Short Call (83), Short Put (83), Short sales allowed (82), Short sales not allowed (82), Short selling (80, 104), Short Straddle (83), Short Vertical (Bear) Spread (83), Significance Identification (105), Simple summation approach (38), Simulation (7, 98), Simulation and Bootstrap techniques (28), Simultaneous econometric models (5), Simultaneous Equations (100), Simultaneous equations systems (116), Single-index model (81), Size (10, 121), Skewness (7), Sklar’s theorem (73), Small-Minus-Big (19), Social Media (66), Social network (18), Sources of funds (49), Specification Error (97), Spline Regression Analysis (67), Stale pricing (91), Standardized Student’s t-distribution (73), State-space Model (64), Static CAPM (122), Statistical Analysis of Response Behavior (105), Statistics—Sampling (69), Stochastic calculus (102), Stochastic dominance (7, 24), Stochastic volatility (33), Stochastic volatility model (72), Stochastic volatility model with independent jumps (52), Stock correlation (18), Stock index futures (89), Stock market liquidity (121), Stock market momentum (103), Stock Market Returns (107), Stock prediction (18), Stock repurchase (59), Stock Return Comovement (113), Stop-loss orders (89), Strength Investing (43), Structural breaks (61), Structural change (1), Structural Credit Risk Model (50), Structural equation model (16), Structural equation modeling (SEM) (35), Structural hole (31), Student’s t copula (73), Subsidiaries (46), Substitution swap (88), Supervised learning (101), Supply Chain Financial Management (46), Supply function (99, 122), Support Vector Machine (44, 101), Support vector machines (20, 21), SUR (5), Survival analysis (120), Survival model (21), Swapping (88), Synergies (116), Synthetic option (84, 89), Systematic risk (62, 79), Systematic Risk Coefficient (114), and Systemic importance (9).

TAIEX options (42), Tail dependence (38, 73), Tail risk (58), Tail wag the dog (89), Tax timing (128), Technical analysis (87, 95, 112), Technologies acceptance (56), Technology acceptance (71), Temporal Aggregation (114), Test (72), Test power (108), The investor’s views (14), Theta (\(\varTheta\)) (86), Three-stage least squares estimation (3SLS) method (1), Threshold regression model (22), Time Series Decomposition (112), Time-series Bootstrapping simulations (55), Time-series data (26), Time-series regression (121), Total risk (79), Trading Strategies (108), Trading Strategy Portfolio (43), Trading volume (87, 95), Trading-day component (26), Transaction cost (128), Transaction costs (104), Transfer function model (6), Transfer pricing (54), Tree model (15), Trend component (26), Trend Following, Business & Market Cycle (43), Trend–cycle component (26), Treynor and Jensen Measures (68), Treynor performance measure (82), Two-pass regression (98), Two-period OPM (84), Two Stage Least Square method (116), U.S. (21), Unbiased estimation (74), Uncertainty (2), Unrelated Mergers (116), Unscented Kalman Filter (64), Upper bound (7), User adoption (71), Utility function (80), Utility theory (80), Validity and reliability (16), Value at Risk (72), Value at Risk model (104), Value-at-Risk (58), Variance–covariance approach (38), Variance-gamma process (70), Vectors (77), Vega (\(\nu\)) (86), VG NGARCH model (70), VIX (40), Volatility clustering (14), Warren and Shelton model (90), Wavelet coherence (36), Wavelet correlation (36), Wavelet multiple cross-correlation (36), X-11 model (26), ZLB (Zero lower bound) (61), 2SLS (5), and 3SLS (5).

Appendix 2: Table of contents of the book entitled financial econometrics, mathematics and statistics (Springer, 2019)

Chapter 1: Introduction To Financial Econometrics, Mathematics, and Statistics

2.1 PART I: regression and financial econometrics

  • Chapter 2: Multiple Linear Regression

  • Chapter 3: Other Topics in Applied Regression Analysis

  • Chapter 4: Simultaneous Equation Models

  • Chapter 5: Econometric Approach to Financial Analysis, Planning, and Forecasting

  • Chapter 6: Fixed Effects versus Random Effects in Finance Research

  • Chapter 7: Alternative Methods to Deal with Measurement Error

  • Chapter 8: Three Alternative Methods in Testing Capital Asset Pricing Model

  • Chapter 9: Spurious Regression and Data Mining in Conditional Asset Pricing Model

2.2 PART II: Time-Series Analysis and Its Applications

  • Chapter 10: Time Series: Analysis, Model, and Forecasting

  • Chapter 11: Hedge Ratio and Time-Series Analysis

2.3 PART III: Statistical Distributions, Option Pricing Model and Risk Management

  • Chapter 12: The Binomial, Multinomial Distributions, and Option Pricing Model

  • Chapter 13: Two Alternative Binomial Option Pricing Model Approaches to Derive Black-Scholes Option Pricing Model

  • Chapter 14: Normal, Lognormal Distribution, and Option Pricing Model

  • Chapter 15: Copula, Correlated Defaults, and Credit VaR

  • Chapter 16: Multivariate Analysis: Discriminant Analysis and Factor Analysis

2.4 PART IV: Statistics, Ito’s calculus and option pricing model

  • Chapter 17: Stochastic Volatility Option Pricing Models

  • Chapter: 18 Alternative Methods to Estimate Implied Variance: Review and Comparison

  • Chapter 19: Numerical Valuation of Asian Options with Higher Moments in the Underlying Distribution

  • Chapter 20: Ito’s Calculus: Derivation of the Black–Scholes Option Pricing Model

  • Chapter 21: Alternative Methods to Derive Option Pricing Models

  • Chapter 22: Constant Elasticity of Variance Option Pricing Model: Integration and Detailed Derivation

  • Chapter 23: Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates

  • Chapter 24: Nonparametric Method for European Option Bounds

Appendix 3: Table of contents of handbook of financial econometrics and statistics (Springer, 2015)

  1. 1.

    Introduction

  2. 2.

    Experience, Information Asymmetry, and Rational Forecast Bias

  3. 3.

    An Overview Of Modeling Dimensions For Performance Appraisal Of Global Mutual Funds

  4. 4.

    Simulation as a Research Tool for Market Architects

  5. 5.

    The Motivations for Issuing Putable Debt: An Empirical Analysis

  6. 6.

    Multi Risk-Premia Model of US Bank Returns: An Integration of CAPM and APT

  7. 7.

    Non-Parametric Bounds for European Option Prices

  8. 8.

    Can Time-Varying Copulas Improve Mean–Variance Portfolio?

  9. 9.

    Determinations of Corporate Earnings Forecast Accuracy: Taiwan Market Experience

  10. 10.

    Market-Based Accounting Research (MBAR) Models: A Test of ARIMAX Modeling

  11. 11.

    An Assessment of Copula Functions Approach in Conjunction with Factor Model in Portfolio Credit Risk Management

  12. 12.

    Assessing Importance of Time-Series versus Cross-Sectional Changes in Panel Data: A Study of International Variations in Ex-Ante Equity Premia and Financial Architecture

  13. 13.

    Does Banking Capital Reduce Risk? An Application of Stochastic Frontier Analysis and GMM Approach

  14. 14.

    Evaluating Long-Horizon Event Study Methodology

  15. 15.

    The Effect of Unexpected Volatility Shocks on Intertemporal Risk-Return Relation

  16. 16.

    Combinatorial Methods for Constructing Credit Risk Ratings

  17. 17.

    Dynamic Interactions between Institutional Investors and the Taiwan Stock Exchange Corporation: One-regime and Threshold VAR Models

  18. 18.

    Methods of Denoising Financial Data

  19. 19.

    Analysis of Financial Time-Series using Fourier and Wavelet Methods

  20. 20.

    Composite Goodness-of-Fit Tests for Left Truncated Loss Sample

  21. 21.

    Effect of Merger on the Credit Rating and Performance of Taiwan Security Firms

  22. 22.

    On-/off-the-Run Yield Spread Puzzle: Evidence from Chinese Treasury Markets

  23. 23.

    Factor Copula for Defaultable Basket Credit Derivatives

  24. 24.

    Panel Data Analysis and Bootstrapping: Application to China Mutual Funds

  25. 25.

    Market Segmentation and Pricing of Closed-end Country Funds: An Empirical Analysis

  26. 26.

    A comparison of portfolios using different risk measurements

  27. 27.

    Using Alternative Models and a Combining Technique in Credit Rating Forecasting — An Empirical Study

  28. 28.

    Can we use the CAPM as an investment strategy? An intuitive CAPM and efficiency test.

  29. 29.

    Group Decision Making Tools for Managerial Accounting and Finance Applications

  30. 30.

    Statistics Methods Applied in Employee Stock Options

  31. 31.

    Structural Change and Monitoring Tests

  32. 32.

    Consequences of Option Pricing of a Long Memory in Volatility

  33. 33.

    Seasonal aspects of Australian electricity market

  34. 34.

    Pricing commercial timberland returns in the United States

  35. 35.

    Optimal Orthogonal Portfolios with Conditioning Information

  36. 36.

    Multi-factor, Multi-indicator approach to asset pricing: method and empirical evidence

  37. 37.

    Binomial OPM, Black–Scholes OPM and Their Relationship: Decision Tree and Microsoft Excel Approach

  38. 38.

    Dividend payments and share repurchases of U.S. firms: An econometric approach

  39. 39.

    Term Structure Modeling and Forecasting Using the Nelson-Siegel Model

  40. 40.

    The intertemporal relation between expected return and risk on currency

  41. 41.

    Quantile Regression and Value-at-Risk

  42. 42.

    Earnings Quality and Board Structure: Evidence from South East Asia

  43. 43.

    The Rationality and Heterogeneity of Survey Forecasts of the Yen-Dollar Exchange Rate: A Reexamination

  44. 44.

    Stochastic Volatility Structures and Intra-Day Asset Price Dynamics

  45. 45.

    Optimal Asset Allocation under VaR Criterion: Taiwan Stock Market

  46. 46.

    Applications of Switching Model in Finance and Accounting

  47. 47.

    Matched Sample Comparison Group Analysis

  48. 48.

    A Quasi-Maximum Likelihood Estimation Strategy for Value-at-Risk Forecasting: Application to Equity Index Futures Markets

  49. 49.

    Computer Technology for Financial Service

  50. 50.

    Long-Run Stock Return and the Statistical Inference

  51. 51.

    Value-at-Risk Estimation via a Semi-Parametric Approach: Evidence from the Stock Markets

  52. 52.

    Modeling Multiple Asset Returns by a Time-Varying t Copula Model

  53. 53.

    Internet Bubble Examination with Mean–Variance Ratio

  54. 54.

    Quantile Regression in Risk Calibration

  55. 55.

    Strike Prices of Options for Overconfident Executives

  56. 56.

    Density and Conditional Distribution Based Specification Analysis

  57. 57.

    Assessing the Performance of Estimators Dealing with Measurement Errors

  58. 58.

    Realized Distributions of Dynamic Conditional Correlation and Volatility Thresholds in the Crude Oil, Gold and Dollar/Pound Currency Markets

  59. 59.

    Pre-IT policy, Post IT policy and the Real Sphere in Turkey?

  60. 60.

    The Determination of Capital Structure: A LISREL Model Approach

  61. 61.

    Evidence on Earning Management by Integrated Oil and Gas Companies

  62. 62.

    A comparative study of two models SV with MCMC algorithm

  63. 63.

    Internal Control Material Weakness, Analysts’ Accuracy and Bias, and Brokerage Reputation

  64. 64.

    What Increases Banks’ Vulnerability to Financial Crisis: Short-Term Financing or Illiquid Assets?

  65. 65.

    Accurate Formulae for Evaluating Barrier Options with Dividends Payout and the Application in Credit Risk Valuation

  66. 66.

    Pension Funds: financial econometrics on the herding phenomenon in Spain and the United Kingdom

  67. 67.

    Estimating the Correlation of Asset Returns: A Quantile Dependence Perspective

  68. 68.

    Multi-Criteria Decision Making for Evaluating Mutual Funds Investment Strategies

  69. 69.

    Econometric Analysis of Currency Carry Trade

  70. 70.

    Evaluating the Effectiveness of Futures Hedging

  71. 71.

    Analytical bounds for Treasury bond futures prices

  72. 72.

    The Rating Dynamics of Fallen Angels and Their Speculative Grade-Rated Peers: Static versus Dynamic Approach

  73. 73.

    The roles of compensation scheme of portfolio managers, wealth and supply constraints, and the relative risk aversion of traders in the creation and control of speculative bubbles

  74. 74.

    Range Volatility: A Review of Models and Empirical Studies

  75. 75.

    Business Models: Applications to Capital Budgeting, Equity Value, and Return Attribution

  76. 76.

    VAR Models: Estimation, Inferences, and Applications

  77. 77.

    Model Selection for High-Dimensional Problems

  78. 78.

    Hedonic Regression Models

  79. 79.

    Optimal Payout Ratio under Uncertainty and the Flexibility Hypothesis: Theory and Empirical Evidence

  80. 80.

    Modeling Asset Returns with Skewness, Kurtosis, and Outliers

  81. 81.

    Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers: Combined Estimator Approach

  82. 82.

    A VG-NGARCH Model for Impacts of Extreme Events on Stock Returns

  83. 83.

    Risk-Averse Portfolio Optimization via Stochastic Dominance Constraints

  84. 84.

    Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type

  85. 85.

    Stochastic Change-Point Models of Asset Returns and Their Volatilities

  86. 86.

    Unspanned Stochastic Volatilities and Interest Rate Derivatives Pricing

  87. 87.

    Alternative Equity Valuation Models

  88. 88.

    Time Series Models to Predict the Net Asset Value (NAV) of an Asset Allocation Mutual Fund VWELX

  89. 89.

    Discriminant Analysis and Factor Analysis: Theory And Method

  90. 90.

    Implied Volatility: Theory and Empirical Method

  91. 91.

    Measuring Credit Risk in a Factor Copula Model

  92. 92.

    Instantaneous Volatility Estimation by Nonparametric Fourier Transform Methods

  93. 93.

    A Dynamic CAPM with Supply Effect Theory and Empirical Results

  94. 94.

    A Generalized Model for Optimum Futures Hedge Ratio

  95. 95.

    Instrument Variable Approach to Correct for Endogeneity in Finance

  96. 96.

    Application of Poisson Mixtures in the Estimation of Probability of Informed Trading

  97. 97.

    CEO stock options and analysts’ forecast accuracy and bias

  98. 98.

    Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates

Appendix 4: Essentials of excel, excel VBA, SAS and Minitab for statistical and financial analysis (Springer, 2016)

4.1 Part A: statistical analysis

  1. 1.

    Introduction

  2. 2.

    Data Collection, Presentation, and Yahoo Finance

  3. 3.

    Histograms and the Rate of Returns of JPM and JNJ

  4. 4.

    Numerical Summary Measures on Rate of Returns of Amazon, Walmart, and the S&P 500

  5. 5.

    Probability Concepts and Their Analysis

  6. 6.

    Discrete Random Variables and Probability Distributions

  7. 7.

    The Normal and Lognormal Distributions

  8. 8.

    Sampling Distributions and Central Limit Theorem

  9. 9.

    Other Continuous Distributions

  10. 10.

    Estimation

  11. 11.

    Hypothesis Testing

  12. 12.

    Analysis of Variance and Chi Square Tests

  13. 13.

    Simple Linear Regression and the Correlation Coefficient

  14. 14.

    Simple Linear Regression and Correlation: Analyses and Applications

  15. 15.

    Multiple Linear Regression

  16. 16.

    Residual and Regression Assumption Analysis

  17. 17.

    Nonparametric Statistics

  18. 18.

    Time Series: Analysis, Model, and Forecasting

  19. 19.

    Index Numbers and Stock Market Indexes

  20. 20.

    Sampling Surveys: Methods and Applications

  21. 21.

    Statistical Decision Theory

4.2 Part B: advanced applications of microsoft excel programs in financial analysis

  1. 22.

    Introduction to Excel Programming

  2. 23.

    Introduction to VBA Programming

  3. 24.

    Professional Techniques Used in Excel and Excel VBA Techniques

  4. 25.

    Binomial Option Pricing Model Decision Tree Approach

  5. 26.

    Microsoft Excel Approach to Estimating Alternative Option Pricing Models

  6. 27.

    Alternative Methods to Estimate Implied Variance

  7. 28.

    Greek Letters and Portfolio Insurance

  8. 29.

    Portfolio Analysis and Option Strategies

  9. 30.

    Simulation and Its Application

4.3 Part C: applications of simultaneous equation in finance research: methods and empirical results

  1. 31.

    Application of Simultaneous Equation in Finance Research: Methods and Empirical Results

  2. 32.

    Hedge Ratios: Theory and Applications

  3. 31.

    Application of Simultaneous Equation in Finance Research: Methods and Empirical Results

  4. 32.

    Hedge Ratios: Theory and Applications

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Lee, C.F. Financial econometrics, mathematics, statistics, and financial technology: an overall view. Rev Quant Finan Acc 54, 1529–1578 (2020). https://doi.org/10.1007/s11156-020-00883-z

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  • DOI: https://doi.org/10.1007/s11156-020-00883-z

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