Econometrics for Financial Applications

This book addresses both theoretical developments in and practical applications of econometric techniques to finance-related problems. It includes selected edited outcomes of the International Econometric Conference of Vietnam (ECONVN2018), held at Banking University, Ho Chi Minh City, Vietnam on January 15-16, 2018.

Econometrics is a branch of economics that uses mathematical (especially statistical) methods to analyze economic systems, to forecast economic and financial dynamics, and to develop strategies for achieving desirable economic performance.

An extremely important part of economics is finances: a financial crisis can bring the whole economy to a standstill and, vice versa, a smart financial policy can dramatically boost economic development. It is therefore crucial to be able to apply mathematical techniques of econometrics to financial problems. Such applications are a growing field, with many interesting results – and an even larger number of challenges and open problems.

Table of Contents

Chapter 1. Testing, Prediction, and Cause in Econometric Models
Chapter 2. Information Criteria for Statistical Modeling in Data-Rich Era
Chapter 3. An Invitation to Quantum Econometrics
Chapter 4. GL+ and GL- Regressions
Chapter 5. What If We Do Not Know Correlations?
Chapter 6. Markowitz Portfolio Theory Helps Decrease Medicines’ Side Effect and Speed up Machine Learning
Chapter 7. A Method for Optimal Solution of Intuitionistic Fuzzy Transportation Problems via Centroid
Chapter 8. The Generalized Diffie-Hellman Key Exchange Protocol on Groups
Chapter 9. Combination and Composition in Probabilistic Models
Chapter 10. Efficient Parameter-Estimating Algorithms for Symmetry-Motivated Models: Econometrics and Beyond
Chapter 11. Quantum Ideas in Economics Beyond Quantum Econometrics
Chapter 12. An Ancient Bankruptcy Solution Makes Economic Sense
Chapter 13. Confidence Intervals for the Ratio of Means of Delta-Lognormal Distribution
Chapter 14. Modeling and Simulation of Financial Risks
Chapter 15. Maximum Entropy Beyond Selecting Probability Distributions
Chapter 16. Confidence Intervals for Functions of Signal-to-Noise Ratios of Normal Distributions
Chapter 17. Fuzzy vs. Probabilistic Techniques in Time Series Analysis
Chapter 18. Is It Legitimate Statistics or Is It Sexism: Why Discrimination Is Not Rational
Chapter 19. Dimensionality Reduction by Fuzzy Transforms with Applications to Mathematical Finance
Chapter 20. Confidence Intervals for the Signal to Noise Ratio of Two-Parameter Exponential Distribution
Chapter 21. Why Student Distributions? Why Matern’s Covariance Model? A Symmetry-Based Explanation
Chapter 22. Confidence Intervals for Common Mean of Lognormal Distributions
Chapter 23. Perspectives and Experiments of Hybrid Particle Swarm Optimization and Genetic Algorithms to Solve Optimization Problems
Chapter 24. Simultaneous Confidence Intervals for All Differences of Means of Two-Parameter Exponential Distributions
Chapter 25. The Skew-t Option Pricing Model
Chapter 26. Confidence Intervals for the Coefficient of Variation of the Delta-Lognormal Distribution
Chapter 27. Best Proximity Point Theorems for Generalized –Proximal Contractions
Chapter 28. Zeroes and Fixed Points of Different Functions via Contraction Type Conditions
Chapter 29. A Globally Stable Fixed Point in an Ordered Partial Metric Space
Chapter 30. An (,)-admissibility and Theorems for Fixed Points of Self-maps
Chapter 31. The Modified Multi-step Iteration Process for Pairwise Generalized Nonexpansive Mappings in CAT(0) Spaces
Chapter 32. Interbank Contagion: An Agent-Based Model for Vietnam Banking System
Chapter 33. Assessment of the Should be Effects of Corruption Perception Index on Foreign Direct Investment in ASEAN Countries by Spatial Regression Method
Chapter 34. Using SmartPLS 3.0 to Analyse Internet Service Quality in Vietnam
Chapter 35. A Convex Combination Method for Quantile Regression with Interval Data
Chapter 36. The Influence of Corporate Culture on Employee Commitment
Chapter 37. On a New Calibrated Mixture Model for a Density Forecast of the VN30 Index
Chapter 38. An Improved Fuzzy Time Series Forecasting Model
Chapter 39. Testing J-Curve Phenomenon in Vietnam: An Autoregressive Distributed Lag (ARDL) Approach
Chapter 40. An Analysis of Eigenvectors of a Stock Market Cross-Correlation Matrix
Chapter 41. Factors Impacting Tax Revenue of Southeast Asian Countries
Chapter 42. Mixed-Copulas Approach in Examining the Relationship Between Oil Prices and ASEAN’s Stock Markets
Chapter 43. Forecasting Credit-to-GDP
Chapter 44. Resilience of Stock Cross-Correlation Network to Random Breakdown and Intentional Attack
Chapter 45. Constructing a Financial Stress Index for Vietnam: An Application of Autoregressive Conditional Heteroskedastic Models
Chapter 46. Bank Competition and Financial Stability: Empirical Evidence in Vietnam
Chapter 47. Analysing the Effects of the Exporting on Economic Growth in Vietnam
Chapter 48. The Impact of Supermoon on Stock Market Returns in Vietnam
Chapter 49. Capital Structure of the Firms in Vietnam During Economic Recession and Economic Recovery: Panel Vector Auto-regression (PVER) Approach
Chapter 50. The Efficient Sterilization of Central Bank: Suitable Estimation Method
Chapter 51. Application of Statistical Methods for Tax Inspection of Enterprises: A Case Study in Vietnam
Chapter 52. Detecting Corporate Income Tax Non-compliance from Financial Statements: A Case Study of Vietnam
Chapter 53. GARCH Models in Forecasting the Volatility of the World’s Oil Prices
Chapter 54. Price Transmission Mechanism for Natural Gas in Thailand
Chapter 55. Portfolio Selection with Stock, Gold and Bond in Thailand Under Vine Copulas Functions
Chapter 56. Determinants and Stability of Demand for Money in Vietnam
Chapter 57. The Effects of Foreign Bank Entry, Deregulation on Bank Efficiency in Vietnam: Stochastic Frontier Analysis Approach
Chapter 58. The Impact of Ownership on Net Interest Margin of Commercial Bank in Vietnam
Chapter 59. An Alternate Internal Credit Rating System for Construction and Timber Industries Using Artificial Neural Network
Chapter 60. Zero Interest Rate for the US Dollar Deposit and Dollarization: The Case of Vietnam
Chapter 61. Foreign Reserve Accumulation and Sterilization Effectiveness in Vietnam
Chapter 62. A Study on Optimal Outsourcing Service Nation in the East and Southeast Asian Region: A Comparison Between AHP and Fuzzy AHP Approach
Chapter 63. Expectile Kink Regression: An Application to Service Sector Output
Chapter 64. Adjusting Beliefs via Transformed Fuzzy Prices
Chapter 65. On Characterizations of Bivariate Schur-constant Models and Applications
Chapter 66. Time-Varying Beta Estimation in CAPM Under the Regime-Switching Model
Chapter 67. Interval-Valued Estimation for the Five Largest Market Capitalization Stocks in the Stock Exchange of Thailand by Markov-Switching CAPM
Chapter 68. The Roles of Perceived Risk and Trust on E–Payment Adoption
Chapter 69. Modelling Exchange Rate Volatility Using GARCH Model: An Empirical Analysis for Vietnam
Chapter 70. Pricing Assets with Higher Co-moments and Value-at-Risk by Quantile Regression Approach: Evidence from Vietnam Stock Market
Chapter 71. Contagion Risk Measured by Return Among Cryptocurrencies
Chapter 72. The Effect of Macroeconomic Factors on Investor Purchase Decision: The Case Study of HOSE
Chapter 73. The Inflation-Economic Growth Relationship: Estimating the Inflation Threshold in Vietnam
Chapter 74. Factors Affecting the Level of Financial Information Transparency – Evidence from Top 30 Listed Companies in Singapore, Philippines, and Vietnam
Chapter 75. Evaluating the Impact of Factors on the Shift of Economic Structure in Vietnam
Chapter 76. Testing the Evidence of Purchasing Power Parity for Southeast Asia Countries