# Econometrics for Financial Applications

## Book Description

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

## Book Details

- Title: Econometrics for Financial Applications
- Length: 1081 pages
- Edition: 1st ed. 2018
- Language: English
- Publisher: Springer
- Publication Date: 2018-01-06
- ISBN-10: 3319731491
- ISBN-13: 9783319731490

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