Titlebook: Handbook of Financial Econometrics and Statistics; Cheng-Few Lee,John C. Lee Reference work 2015 Springer Science+Business Media New York

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https://doi.org/10.1007/978-3-642-72799-3ithin the realm of factor models, default dependence is due to a set of common systemic factors. Conditional on these common factors, defaults are independent. The benefit of a factor model is straightforward coupling with a copula function to give an analytic formulation of the joint distribution o

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https://doi.org/10.1007/978-3-7091-5719-0two estimation procedures that can do so and illustrate their application by examining international variations in expected equity premia and financial architecture where a number of variables vary across time but not cross-sectionally, while other variables vary cross-sectionally but not across tim

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https://doi.org/10.1007/978-3-662-46217-1ng simulation studies about the performance of commonly used methods. We document in details how to implement a simulation study and report our own findings on large-size samples. The findings have important implications for future research..We examine the performance of more than 20 different testi

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https://doi.org/10.1007/978-3-322-81746-4companies (dic) purchases, and net registered trading firms (rtf) purchases) to examine: (i) the interaction among three types of institutional investors, particularly to test whether net foreign purchases lead net domestic purchases by dic and rtf (the so-called demonstration effect); (ii) whether