Handbook of Financial Econometrics and Statistics, 4 Vols.

Forecasting: An Empirical Study.- Can We Use the CAPM as an Investment Strategy?: An Intuitive CAPM and Efficiency Test.- Group Decision Making Tools for Managerial Accounting and Finance Applications.- Statistics Methods Applied in Employee Stock Options.- Structural Change and Monitoring Tests.- Consequences of Option Pricing of a Long Memory in Volatility.- Seasonal aspects of Australian electricity market.- Pricing Commercial Timberland Returns in the United States.- Optimal Orthogonal Portfolios with Conditioning Information.- Multi­Factor, Multi­Indicator Approach to Asset Pricing: Method and Empirical Evidence.- Binomial OPM, Black-Scholes OPM and Their Relationship: Decision Tree and Microsoft Excel Approach.- Dividend Payments and Share Repurchases of U.S. Firms: An Econometric Approach.- Term Structure Modeling and Forecasting Using the Nelson-Siegel Model.- The intertemporal relation between expected return and risk on currency.- Quantile Regression and Value-at-Risk.- Earnings Quality and Board Structure: Evidence from South East Asia.- Rationality and Heterogeneity of Survey Forecasts of the Yen-Dollar Exchange Rate: A Reexamination.- Stochastic Volatility Structures and Intra-Day Asset Price Dynamics.- Optimal Asset Allocation under VaR Criterion: Taiwan Stock Market.- Applications of Switching Model in Finance and Accounting.- Matched Sample Comparison Group Analysis.- A Quasi-Maximum Likelihood Estimation Strategy for Value-at-Risk Forecasting: Application to Equity Index Futures Markets.- Computer Technology for Financial Service.- Long-Run Stock Return and the Statistical Inference.- Value-at-Risk Estimation via a Semi-Parametric Approach: Evidence from the Stock Markets.- Modeling Multiple Asset Returns by a Time-Varying t Copula Model.- Internet Bubble Examination with Mean-Variance Ratio.- Quantile Regression in Risk Calibration.- Strike Prices of Options for Overconfident Executives.- Density and Conditional Distribution Based Specification Analysis.- Assessing the Performance of Estimators Dealing with Measurement Errors.- Realized Distributions of Dynamic Conditional Correlation and Volatility Thresholds in the Crude Oil, Gold and Dollar/Pound Currency Markets.- Pre-IT Policy, Post-IT Policy, and the Real Sphere in Turkey.- Determination of Capital Structure: A LISREL Model Approach.- Evaluating the Effectiveness of Futures Hedging.- Evidence on Earning Management by Integrated Oil and Gas Companies.- A Comparative Study of Two Models SV with MCMC Algorithm.- Internal Control Material Weakness, Analysts Accuracy and Bias, and Brokerage Reputation.- What Increases Banks Vulnerability to Financial Crisis: Short-Term Financing or Illiquid Assets?- Accurate Formulae for Evaluating Barrier Options with Dividends Payout and the Application in Credit Risk Valuation.- Pension Funds: Financial Econometrics on the Herding Phenomenon in Spain and the United Kingdom.- Estimating the Correlation of Asset Returns: A Quantile Dependence Perspective.- Multi-Criteria Decision Making for Evaluating Mutual Funds Investment Strategies.- Econometric Analysis of Currency Carry Trade.- Analytical Bounds for Treasury Bond Futures prices.- Rating Dynamics of Fallen Angels and their Speculative Grade-Rated Peers: Static vs. Dynamic Approach.- Creation and Control of Bubbles: Managers Compensation Schemes, Risk Aversion, and Wealth and Short Sale Constraints.- Range Volatility: A Review of Models and Empirical Studies.- Business Models: Applications to Capital Budgeting, Equity Value, and Return Attribution.- VAR Models: Estimation, Inferences, and Applications.- Model Selection for High-Dimensional Problems.- Hedonic Regression Models.- Optimal Payout Ratio under Uncertainty and the Flexibility Hypothesis: Theory and Empirical Evidence.- Modeling Asset Returns with Skewness, Kurtosis, and Outliers.- Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers: Combined Estimator Approach.- A VG-NGARCH Model for Impacts of Extreme Events on Stock Returns.- Risk-Averse Portfolio Optimization via Stochastic Dominance Constraints.- Implementation Problems and Solutions in Stochastic Volatility Models of the Heston Type.- Stochastic Change-Point Models of Asset Returns and Their Volatilities.- Unspanned Stochastic Volatilities and Interest Rate Derivatives Pricing.- Alternative Equity Valuation Models.- Time Series Models to Predict the Net Asset Value (NAV) of an Asset Allocation Mutual Fund VWELX.- Discriminant Analysis and Factor Analysis: Theory And Method.- Implied Volatility: Theory and Empirical Method.- Measuring Credit Risk in a Factor Copula Model.- Instantaneous Volatility Estimation by Nonparametric Fourier Transform Methods.- A Dynamic CAPM with Supply Effect Theory and Empirical Results.- A Generalized Model for Optimum Futures Hedge Ratio.- Instrument Variable Approach to Correct for Endogeneity in Finance.- Application of Poisson Mixtures in the Estimation of Probability of Informed Trading.- CEO Stock Options and Analysts Forecast Accuracy and Bias.- Option Pricing and Hedging Performance under Stochastic Volatility and Stochastic Interest Rates.- THE LE CHÂTELIER PRINCIPLE OF THE CAPITAL MARKET EQUILIBRIUM.- Econometric Measures of Liquidity.

Cheng 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 Officer at the Chase Manhattan Bank and Assistant Vice President at Merrill Lynch. Currently, he is the Director of the Center for PBBEF Research.