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Special Issue of the Journal of Econometrics

其他書名	Analysis of Financial Data
出版	SSRN, 2014
URL	http://books.google.com.hk/books?id=uNMLzwEACAAJ&hl=&source=gbs_api

註釋Analyses of financial data are important for several reasons including for understanding the decisions of stock traders, enhancing financial stability of economies, testing implications of economic theories, forecasting stock prices, and formulating corporate policies. The financial economics literature is diverse and is utilized by practitioners researching for investment firms. This special issue of the Journal of Econometrics "Analysis of financial data" brings together ten articles reflecting the diverse research in finance sub-fields. While the articles develop and/or use the most appropriate econometric and statistical techniques, the larger objective is to stimulate rigorous quantitative research that can be appreciated by wide readership and is useful from practical and policy standpoints. The title of the papers are as follows: 1. Editor's introduction 2. Pricing default events: Surprise, exogeneity and contagion. 3. Mutual excitation in Eurozone Sovereign CDS. 4. Time-Varying jump tails. 5. The VIX, the variance premium and stock market volatility. 6. The nonlinear price dynamics of U.S. equity ETFs 7. Improved inference in the evaluation of mutual fund performance using panel Bootstrap methods 8. Minimum distance estimation of the errors-in-variables model using linear cumulant equations. 9. Does the information content of payout initiations and omissions influence firm risks? 10. Methods for multicountry studies of corporate governance: Evidence from the BRIKT countries. 11. Firms' fundamentals, macroeconomic variables and quarterly stock prices in the U.S.