# Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning:(In 4 Volumes)

## Editor

- Cheng Few Lee(Rutgers University, USA)
- John C Lee(Center for PBBEF Research, USA)

## Abstract

### Individual chapters are listed in the "Chapters" tab

## Suggested Citation

**Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning:(In 4 Volumes)**," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 11335, April.

*RePEc:wsi:wsbook:11335*

## Download full text from publisher

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### Book Chapters

The following chapters of this book are listed in IDEAS- Cheng Few Lee, 2020.
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**Introduction to Financial Econometrics, Mathematics, Statistics, and Machine Learning**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 1, pages 1-99, World Scientific Publishing Co. Pte. Ltd.. - Orie Barron & Jian Cao & Xuguang Sheng & Maya Thevenot & Baohua Xin, 2020.
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**Do Managers Use Earnings Forecasts to Fill a Demand They Perceive from Analysts?**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 2, pages 101-149, World Scientific Publishing Co. Pte. Ltd.. - Nan-Ting Kuo & Cheng Few Lee, 2020.
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**A Potential Benefit of Increasing Book–Tax Conformity: Evidence from the Reduction in Audit Fees**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 3, pages 151-197, World Scientific Publishing Co. Pte. Ltd.. - Fu-Lai Lin & Sheng-Yung Yang & Yu-Fen Chen, 2020.
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**Gold in Portfolio: A Long-Term or Short-Term Diversifier?**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 4, pages 199-223, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee, 2020.
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**Econometric Approach to Financial Analysis, Planning, and Forecasting**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 5, pages 225-274, World Scientific Publishing Co. Pte. Ltd.. - Deng-Yuan Ji & Hsiao-Yin Chen & Cheng Few Lee, 2020.
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**Forecast Performance of the Taiwan Weighted Stock Index: Update and Expansion**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 6, pages 275-295, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee & Peter Guangping Zhang, 2020.
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**Parametric, Semi-Parametric, and Non-Parametric Approaches for Option-Bound Determination: Review and Comparison**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 7, pages 297-334, World Scientific Publishing Co. Pte. Ltd.. - Wei-Fang Niu & Henry Horng-Shing Lu, 2020.
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**Measuring the Collective Correlation of a Large Number of Stocks**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 8, pages 335-354, World Scientific Publishing Co. Pte. Ltd.. - Fuad Aleskerov & Irina Andrievskaya & Alisa Nikitina & Sergey Shvydun, 2020.
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**Key Borrowers Detected by the Intensities of Their Interactions**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 9, pages 355-389, World Scientific Publishing Co. Pte. Ltd.. - Shafiqur Rahman & Matthew J. Schneider, 2020.
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**Application of the Multivariate Average F-Test to Examine Relative Performance of Asset Pricing Models with Individual Security Returns**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 10, pages 391-430, World Scientific Publishing Co. Pte. Ltd.. - Sheng-Syan Chen & Cheng Few Lee & Keshab Shresth, 2020.
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**Hedge Ratio and Time Series Analysis**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 11, pages 431-483, World Scientific Publishing Co. Pte. Ltd.. - Jow-Ran Chang & Mao-Wei Hung & Cheng Few Lee, 2020.
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**Application of Intertemporal CAPM on International Corporate Finance**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 12, pages 485-517, World Scientific Publishing Co. Pte. Ltd.. - Wan-Jiun Paul Chiou & Kuntara Pukthuanthong, 2020.
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**What Drives Variation in the International Diversification Benefits? A Cross-Country Analysis**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 13, pages 519-562, World Scientific Publishing Co. Pte. Ltd.. - Wei-Hung Lin & Huei-Wen Teng & Chi-Chun Yang, 2020.
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**A Heteroskedastic Black–Litterman Portfolio Optimization Model with Views Derived from a Predictive Regression**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 14, pages 563-581, World Scientific Publishing Co. Pte. Ltd.. - Tzu Tai & Cheng Few Lee & Tian-Shyr Dai & Keh Luh Wang & Hong-Yi Chen, 2020.
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**Pricing Fair Deposit Insurance: Structural Model Approach**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 15, pages 583-602, World Scientific Publishing Co. Pte. Ltd.. - Hsin-Hue Chang, 2020.
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**Application of Structural Equation Modeling in Behavioral Finance: A Study on the Disposition Effect**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 16, pages 603-626, World Scientific Publishing Co. Pte. Ltd.. - Sophia I-Ling Wang, 2020.
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**External Financing Needs and Early Adoption of Accounting Standards: Evidence from the Banking Industry**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 17, pages 627-675, World Scientific Publishing Co. Pte. Ltd.. - Xi Zhang & Philip S. Yu, 2020.
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**Improving the Stock Market Prediction with Social Media via Broad Learning**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 18, pages 677-736, World Scientific Publishing Co. Pte. Ltd.. - Subhransu S. Mohanty, 2020.
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**Sourcing Alpha in Global Equity Markets: Market Factor Decomposition and Market Characteristics**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 19, pages 737-790, World Scientific Publishing Co. Pte. Ltd.. - Jianping Li & Mingxi Liu & Cheng Few Lee & Dengsheng Wu, 2020.
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**Support Vector Machines Based Methodology for Credit Risk Analysis**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 20, pages 791-822, World Scientific Publishing Co. Pte. Ltd.. - Wikil Kwak & Yong Shi & Cheng Few Lee, 2020.
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**Data Mining Applications in Accounting and Finance Context**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 21, pages 823-857, World Scientific Publishing Co. Pte. Ltd.. - Fang-Chi Lin & Chin-Chen Chien & Cheng Few Lee & Hsuan-Chu Lin & Yu-Cheng Lin, 2020.
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**Trade-off Between Reputation Concerns and Economic Dependence for Auditors — Threshold Regression Approach**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 22, pages 859-888, World Scientific Publishing Co. Pte. Ltd.. - Luis Alberiko Gil-Alana & Hector Carcel, 2020.
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**ASEAN Economic Community: Analysis Based on Fractional Integration and Cointegration**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 23, pages 889-915, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee & Zhaodong Zhong & Tzu Tai & Hongwei Chuang, 2020.
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**Alternative Methods for Determining Option Bounds: A Review and Comparison**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 24, pages 917-945, World Scientific Publishing Co. Pte. Ltd.. - Hai-Chin Yu & Cheng Few Lee & Ben J. Sopranzetti, 2020.
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**Financial Reforms and the Differential Impact of Foreign Versus Domestic Banking Relationships on Firm Value**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 25, pages 947-978, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee, 2020.
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**Time-Series Analysis: Components, Models, and Forecasting**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 26, pages 979-1024, World Scientific Publishing Co. Pte. Ltd.. - George Chalamandaris & A. G. Malliaris, 2020.
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**Itô’s Calculus and the Derivation of the Black–Scholes Option-Pricing Model**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 27, pages 1025-1074, World Scientific Publishing Co. Pte. Ltd.. - Robert H. Patrick, 2020.
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**Durbin–Wu–Hausman Specification Tests**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 28, pages 1075-1108, World Scientific Publishing Co. Pte. Ltd.. - Jessica Schlossberg & Norman R. Swanson, 2020.
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**Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 29, pages 1109-1149, World Scientific Publishing Co. Pte. Ltd.. - John Guerard & Andrew Mark, 2020.
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**Earnings Forecasts and Revisions, Price Momentum, and Fundamental Data: Further Explorations of Financial Anomalies**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 30, pages 1151-1209, World Scientific Publishing Co. Pte. Ltd.. - Re-Jin Guo & Yingda Lu & Lingling Xie, 2020.
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**Ranking Analysts by Network Structural Hole**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 31, pages 1211-1243, World Scientific Publishing Co. Pte. Ltd.. - Kin-Wai Lee & Gillian Hian-Heng Yeo, 2020.
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**The Association Between Book-Tax Differences and CEO Compensation**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 32, pages 1245-1269, World Scientific Publishing Co. Pte. Ltd.. - Dean Diavatopoulos & Oleg Sokolinskiy, 2020.
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**Stochastic Volatility Models: Faking a Smile**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 33, pages 1271-1293, World Scientific Publishing Co. Pte. Ltd.. - Tumellano Sebehela, 2020.
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**Entropic Two-Asset Option**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 34, pages 1295-1344, World Scientific Publishing Co. Pte. Ltd.. - Hong-Yi Chen & Cheng Few Lee & Tzu Tai, 2020.
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**The Joint Determinants of Capital Structure and Stock Rate of Return: A LISREL Model Approach**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 35, pages 1345-1397, World Scientific Publishing Co. Pte. Ltd.. - Bilel Kaffel & Fathi Abid, 2020.
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**Time-Frequency Wavelet Analysis of Stock-Market Co-Movement Between and Within Geographic Trading Blocs**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 36, pages 1399-1437, World Scientific Publishing Co. Pte. Ltd.. - Hong-Yi Chen & Alice C. Lee & Cheng Few Lee, 2020.
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**Alternative Methods to Deal with Measurement Error**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 37, pages 1439-1484, World Scientific Publishing Co. Pte. Ltd.. - Xiaoqian Zhu & Jianping Li & Dengsheng Wu, 2020.
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**Simultaneously Capturing Multiple Dependence Features in Bank Risk Integration: A Mixture Copula Framework**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 38, pages 1485-1518, World Scientific Publishing Co. Pte. Ltd.. - Chuan-Hsiang Han, 2020.
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**GPU Acceleration for Computational Finance**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 39, pages 1519-1532, World Scientific Publishing Co. Pte. Ltd.. - K. Victor Chow & Wanjun Jiang & Jingrui Li, 2020.
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**Does VIX Truly Measure Return Volatility?**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 40, pages 1533-1559, World Scientific Publishing Co. Pte. Ltd.. - Yu-Ting Chen & Cheng Few Lee & Yuan-Chung Sheu, 2020.
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**An ODE Approach for the Expected Discounted Penalty at Ruin in a Jump-Diffusion Model**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 41, pages 1561-1598, World Scientific Publishing Co. Pte. Ltd.. - Wen-Ming Szu & Yi-Chen Wang & Wan-Ru Yang, 2020.
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**How Does Investor Sentiment Affect Implied Risk-Neutral Distributions of Call and Put Options?**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 42, pages 1599-1636, World Scientific Publishing Co. Pte. Ltd.. - Heping Pan, 2020.
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**Intelligent Portfolio Theory and Strength Investing in the Confluence of Business and Market Cycles and Sector and Location Rotations**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 43, pages 1637-1674, World Scientific Publishing Co. Pte. Ltd.. - Jianping Li & Gang Li & Dongxia Sun & Cheng Few Lee, 2020.
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**Evolution Strategy-Based Adaptive Lq Penalty Support Vector Machines with Gauss Kernel for Credit Risk Analysis**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 44, pages 1675-1693, World Scientific Publishing Co. Pte. Ltd.. - Ivan E. Brick & Darius Palia, 2020.
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**Product Market Competition and CEO Pay Benchmarking**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 45, pages 1695-1723, World Scientific Publishing Co. Pte. Ltd.. - Weiwei Chen & Benjamin Melamed & Oleg Sokolinskiy & Ben S. Sopranzetti, 2020.
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**Equilibrium Rate Analysis of Cash Conversion Systems: The Case of Corporate Subsidiaries**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 46, pages 1725-1762, World Scientific Publishing Co. Pte. Ltd.. - Robert Grauer, 2020.
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**Is the Market Portfolio Mean–Variance Efficient?**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 47, pages 1763-1787, World Scientific Publishing Co. Pte. Ltd.. - Jr-Yan Wang & Mao-Wei Hung, 2020.
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**Consumption-Based Asset Pricing with Prospect Theory and Habit Formation**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 48, pages 1789-1819, World Scientific Publishing Co. Pte. Ltd.. - Manak C. Gupta, 2020.
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**An Integrated Model for the Cost-Minimizing Funding of Corporate Activities Over Time**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 49, pages 1821-1844, World Scientific Publishing Co. Pte. Ltd.. - Han-Hsing Lee & Ren-Raw Chen & Cheng Few Lee, 2020.
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**Empirical Studies of Structural Credit Risk Models and the Application in Default Prediction: Review and New Evidence**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 50, pages 1845-1901, World Scientific Publishing Co. Pte. Ltd.. - Ren Raw Chen & Cheng Few Lee & Han-Hsing Lee, 2020.
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**Empirical Performance of the Constant Elasticity Variance Option Pricing Model**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 51, pages 1903-1942, World Scientific Publishing Co. Pte. Ltd.. - Jow-Ran Chang & Mao-Wei Hung & Cheng Few Lee & Hsin-Min Lu, 2020.
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**The Jump Behavior of a Foreign Exchange Market: Analysis of the Thai Baht**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 52, pages 1943-1968, World Scientific Publishing Co. Pte. Ltd.. - Chin-Chen Chien & Cheng Few Lee & She-Chih Chiu, 2020.
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**The Revision of Systematic Risk on Earnings Announcement in the Presence of Conditional Heteroscedasticity**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 53, pages 1969-1990, World Scientific Publishing Co. Pte. Ltd.. - Wikil Kwak & Yong Shi & Heeseok Lee & Cheng Few Lee, 2020.
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**Applications of Fuzzy Set to International Transfer Pricing and Other Business Decisions**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 54, pages 1991-2009, World Scientific Publishing Co. Pte. Ltd.. - Chen Su & Hanxiong Zhang, 2020.
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**A Time-Series Bootstrapping Simulation Method to Distinguish Sell-Side Analysts’ Skill from Luck**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 55, pages 2011-2052, World Scientific Publishing Co. Pte. Ltd.. - Veronika Belousova & Vasily Solodkov & Nikolay Chichkanov & Ekaterina Nikiforova, 2020.
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**Acceptance of New Technologies by Employees in Financial Industry**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 56, pages 2053-2080, World Scientific Publishing Co. Pte. Ltd.. - Lie-Jane Kao & Cheng Few Lee, 2020.
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**Alternative Method for Determining Industrial Bond Ratings: Theory and Empirical Evidence**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 57, pages 2081-2105, World Scientific Publishing Co. Pte. Ltd.. - Cathy Yi-Hsuan Chen & Thomas C. Chiang, 2020.
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**An Empirical Investigation of the Long Memory Effect on the Relation of Downside Risk and Stock Returns**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 58, pages 2107-2140, World Scientific Publishing Co. Pte. Ltd.. - Lie-Jane Kao & Li-Shya Chen & Cheng Few Lee, 2020.
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**Analysis of Sequential Conversions of Convertible Bonds: A Recurrent Survival Approach**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 59, pages 2141-2159, World Scientific Publishing Co. Pte. Ltd.. - Maria-Eleni K. Agoraki & Dimitris A. Georgoutsos & George T. Moratis, 2020.
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**Determinants of Euro-Area Bank CDS Spreads**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 60, pages 2161-2198, World Scientific Publishing Co. Pte. Ltd.. - Januj Juneja, 2020.
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**Dynamic Term Structure Models Using Principal Components Analysis Near the Zero Lower Bound**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 61, pages 2199-2250, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee & Frank C. Jen, 2020.
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**Effects of Measurement Errors on Systematic Risk and Performance Measure of a Portfolio**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 62, pages 2251-2263, World Scientific Publishing Co. Pte. Ltd.. - James R. Barth & Sunghoon Joo & Hyeongwoo Kim & Kang Bok Lee & Stevan Maglic & Xuan Shen, 2020.
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**Forecasting Net Charge-Off Rates of Banks: A PLS Approach**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 63, pages 2265-2301, World Scientific Publishing Co. Pte. Ltd.. - Hao Chang & Yangru Wu, 2020.
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**Application of Filtering Methods in Asset Pricing**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 64, pages 2303-2321, World Scientific Publishing Co. Pte. Ltd.. - Marvin J. Karson & David C. Cheng & Cheng Few Lee, 2020.
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**Sampling Distribution of the Relative Risk Aversion Estimator: Theory and Applications**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 65, pages 2323-2335, World Scientific Publishing Co. Pte. Ltd.. - Chia-Hui Chao & Hai-Chin Yu, 2020.
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**Social Media, Bank Relationships and Firm Value**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 66, pages 2337-2371, World Scientific Publishing Co. Pte. Ltd.. - Zachary A. Smith & Mazin A. M. Al Janabi & Muhammad Z. Mumtaz, 2020.
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**Splines, Heat, and IPOs: Advances in the Measurement of Aggregate IPO Issuance and Performance**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 67, pages 2373-2397, World Scientific Publishing Co. Pte. Ltd.. - Son-Nan Chen & Cheng Few Lee, 2020.
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**The Effects of the Sample Size, the Investment Horizon and the Market Conditions on the Validity of Composite Performance Measures: A Generalization**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 68, pages 2399-2418, World Scientific Publishing Co. Pte. Ltd.. - Son-Nan Chen & Cheng Few Lee, 2020.
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**The Sampling Relationship Between Sharpe’s Performance Measure and its Risk Proxy: Sample Size, Investment Horizon and Market Conditions**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 69, pages 2419-2435, World Scientific Publishing Co. Pte. Ltd.. - Lie-Jane Kao & Cheng Few Lee, 2020.
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**VG NGARCH Versus GARJI Model for Asset Price Dynamics**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 70, pages 2437-2459, World Scientific Publishing Co. Pte. Ltd.. - Veronika Belousova & Nikolay Chichkanov, 2020.
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**Why do Smartphone and Tablet Users Adopt Mobile Banking?**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 71, pages 2461-2483, World Scientific Publishing Co. Pte. Ltd.. - Henghsiu Tsai & Hwai-Chung Ho & Hung-Yin Chen, 2020.
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**Non-Parametric Inference on Risk Measures for Integrated Returns**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 72, pages 2485-2497, World Scientific Publishing Co. Pte. Ltd.. - Wing-Choong Lai & Kim-Leng Goh, 2020.
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**Copulas and Tail Dependence in Finance**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 73, pages 2499-2524, World Scientific Publishing Co. Pte. Ltd.. - Siu Kai Choy & Bu-qing Yang, 2020.
"
**Some Improved Estimators of Maximum Squared Sharpe Ratio**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 74, pages 2525-2545, World Scientific Publishing Co. Pte. Ltd.. - Shafiqur Rahman & Cheng Few Lee, 2020.
"
**Errors-in-Variables and Reverse Regression**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 75, pages 2547-2563, World Scientific Publishing Co. Pte. Ltd.. - Kai-Shi Chuang, 2020.
"
**The Role of Financial Advisors in M&As: Do Domestic and Foreign Advisors Differ?**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 76, pages 2565-2597, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee, 2020.
"
**Discriminant Analysis, Factor Analysis, and Principal Component Analysis: Theory, Method, and Applications**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 77, pages 2599-2633, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee, 2020.
"
**Credit Analysis, Bond Rating Forecasting, and Default Probability Estimation**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 78, pages 2635-2671, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee, 2020.
"
**Market Model, CAPM, and Beta Forecasting**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 79, pages 2673-2711, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee, 2020.
"
**Utility Theory, Capital Asset Allocation, and Markowitz Portfolio-Selection Model**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 80, pages 2713-2756, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee, 2020.
"
**Single-Index Model, Multiple-Index Model, and Portfolio Selection**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 81, pages 2757-2799, World Scientific Publishing Co. Pte. Ltd.. - Paul Chiou & Cheng Few Lee, 2020.
"
**Sharpe Performance Measure and Treynor Performance Measure Approach to Portfolio Analysis**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 82, pages 2801-2838, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee, 2020.
"
**Options and Option Strategies: Theory and Empirical Results**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 83, pages 2839-2884, World Scientific Publishing Co. Pte. Ltd.. - Jow-Ran Chang & John Lee, 2020.
"
**Decision Tree and Microsoft Excel Approach for Option Pricing Model**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 84, pages 2885-2927, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee, 2020.
"
**Statistical Distributions, European Option, American Option, and Option Bounds**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 85, pages 2929-2964, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee & Yuanyuan Xiao, 2020.
"
**A Comparative Static Analysis Approach to Derive Greek Letters: Theory and Applications**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 86, pages 2965-2999, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee, 2020.
"
**Fundamental Analysis, Technical Analysis, and Mutual Fund Performance**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 87, pages 3001-3058, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee, 2020.
"
**Bond Portfolio Management, Swap Strategy, Duration, and Convexity**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 88, pages 3059-3098, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee, 2020.
"
**Synthetic Options, Portfolio Insurance, and Contingent Immunization**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 89, pages 3099-3141, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee, 2020.
"
**Alternative Security Valuation Model: Theory and Empirical Results**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 90, pages 3143-3192, World Scientific Publishing Co. Pte. Ltd.. - Zachary A. Smith & Mazin A. M. Al Janabi & Muhammad Z. Mumtaz, 2020.
"
**Opacity, Stale Pricing, Extreme Bounds Analysis, and Hedge Fund Performance: Making Sense of Reported Hedge Fund Returns**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 91, pages 3193-3217, World Scientific Publishing Co. Pte. Ltd.. - Hai-Chin Yu & Chia-Ju Lee & Der-Tzon Hsieh, 2020.
"
**Does Quantile Co-Integration Exist Between Gold Spot and Futures Prices?**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 92, pages 3219-3239, World Scientific Publishing Co. Pte. Ltd.. - Lie-Jane Kao & Huei Ching Soo & Cheng Few Lee, 2020.
"
**Bayesian Portfolio Mean–Variance Efficiency Test with Sharpe Ratio’s Sampling Error**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 93, pages 3241-3261, World Scientific Publishing Co. Pte. Ltd.. - Hong-Yi Chen & Sheng-Syan Chen & Chin-Wen Hsin & Cheng Few Lee, 2020.
"
**Does Revenue Momentum Drive or Ride Earnings or Price Momentum?**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 94, pages 3263-3318, World Scientific Publishing Co. Pte. Ltd.. - Hong-Yi Chen & Cheng Few Lee & Wei-Kang Shih, 2020.
"
**Technical, Fundamental, and Combined Information for Separating Winners from Losers**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 95, pages 3319-3365, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee & Manak C. Gupta & Hong-Yi Chen & Alice C. Lee, 2020.
"
**Optimal Payout Ratio Under Uncertainty and the Flexibility Hypothesis: Theory and Empirical Evidence**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 96, pages 3367-3412, World Scientific Publishing Co. Pte. Ltd.. - Hong-Yi Chen & Manak C. Gupta & Alice C. Lee & Cheng Few Lee, 2020.
"
**Sustainable Growth Rate, Optimal Growth Rate, and Optimal Payout Ratio: A Joint Optimization Approach**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 97, pages 3413-3464, World Scientific Publishing Co. Pte. Ltd.. - Thomas Gramespacher & Armin Bänziger & Norbert Hilber, 2020.
"
**Cross-Sectionally Correlated Measurement Errors in Two-Pass Regression Tests of Asset-Pricing Models**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 98, pages 3465-3489, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee & Chiung-Min Tsai & Alice C. Lee, 2020.
"
**Asset Pricing with Disequilibrium Price Adjustment: Theory and Empirical Evidence**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 99, pages 3491-3516, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee & Chiung-Min Tsai & Alice C. Lee, 2020.
"
**A Dynamic CAPM with Supply Effect: Theory and Empirical Results**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 100, pages 3517-3544, World Scientific Publishing Co. Pte. Ltd.. - Huei-Wen Teng & Michael Lee, 2020.
"
**Estimation Procedures of Using Five Alternative Machine Learning Methods for Predicting Credit Card Default**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 101, pages 3545-3572, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee & Yibing Chen & John Lee, 2020.
"
**Alternative Methods to Derive Option Pricing Models: Review and Comparison**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 102, pages 3573-3617, World Scientific Publishing Co. Pte. Ltd.. - Jianping Li & Yanzhen Yao & Yibing Chen & Cheng Few Lee, 2020.
"
**Option Price and Stock Market Momentum in China**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 103, pages 3619-3647, World Scientific Publishing Co. Pte. Ltd.. - Wan-Jiun Paul Chiou & Jing-Rung Yu, 2020.
"
**Advancement of Optimal Portfolio Models with Short-Sales and Transaction Costs: Methodology and Effectiveness**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 104, pages 3649-3674, World Scientific Publishing Co. Pte. Ltd.. - Christian Blecher & Stephanie Kruse, 2020.
"
**The Path Leading up to the New IFRS 16 Leasing Standard: How was the Restructuring of Lease Accounting Received by Different Advocacy Groups?**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 105, pages 3675-3702, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee & Yibing Chen & John Lee, 2020.
"
**Implied Variance Estimates for Black–Scholes and CEV OPM: Review and Comparison**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 106, pages 3703-3736, World Scientific Publishing Co. Pte. Ltd.. - Rajesh Mohnot, 2020.
"
**Crisis Impact on Stock Market Predictability**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 107, pages 3737-3751, World Scientific Publishing Co. Pte. Ltd.. - Wayne Ferson & Yong Chen, 2020.
"
**How Many Good and Bad Funds are There, Really?**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 108, pages 3753-3827, World Scientific Publishing Co. Pte. Ltd.. - Y. L. Hsu & T. L. Lin & Cheng Few Lee, 2020.
"
**Constant Elasticity of Variance Option Pricing Model: Integration and Detailed Derivation**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 109, pages 3829-3847, World Scientific Publishing Co. Pte. Ltd.. - Yu-Ting Chen & Cheng Few Lee & Yuan-Chung Sheu, 2020.
"
**An Integral Equation Approach for Bond Prices with Applications to Credit Spreads**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 110, pages 3849-3866, World Scientific Publishing Co. Pte. Ltd.. - Hwei-Lin Chuang & Shih-Yung Chiu, 2020.
"
**Sample Selection Issues and Applications**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 111, pages 3867-3885, World Scientific Publishing Co. Pte. Ltd.. - K. C. Tseng & Ojoung Kwon & Luna C. Tjung, 2020.
"
**Time Series and Neural Network Analysis**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 112, pages 3887-3931, World Scientific Publishing Co. Pte. Ltd.. - Tao Zou & Ronghua Luo & Wei Lan & Chih-Ling Tsai, 2020.
"
**Covariance Regression Model for Non-Normal Data**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 113, pages 3933-3945, World Scientific Publishing Co. Pte. Ltd.. - Yuanyuan Xiao & Yushan Tang & Cheng Few Lee, 2020.
"
**Impacts of Time Aggregation on Beta Value and R2 Estimations Under Additive and Multiplicative Assumptions: Theoretical Results and Empirical Evidence**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 114, pages 3947-3984, World Scientific Publishing Co. Pte. Ltd.. - Sunil Poshakwale & Anandadeep Mandal, 2020.
"
**Large-Sample Theory**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 115, pages 3985-3999, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee & Fu-Lai Lin, 2020.
"
**Impacts of Measurement Errors on Simultaneous Equation Estimation of Dividend and Investment Decisions**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 116, pages 4001-4023, World Scientific Publishing Co. Pte. Ltd.. - T. Robert Yu & Xuehu Song, 2020.
"
**Big Data and Artificial Intelligence in the Banking Industry**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 117, pages 4025-4041, World Scientific Publishing Co. Pte. Ltd.. - Ke Yang & Susan Wahab & Bharat Kolluri & Mahmoud Wahab, 2020.
"
**A Non-Parametric Examination of Emerging Equity Markets Financial Integration**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 118, pages 4043-4074, World Scientific Publishing Co. Pte. Ltd.. - Ted Hong & Daniel Lee & Wenching Wang, 2020.
"
**Algorithmic Analyst (ALAN) — An Application for Artificial Intelligence Content as a Service**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 119, pages 4075-4086, World Scientific Publishing Co. Pte. Ltd.. - Feng Gao & Xiaomin He, 2020.
"
**Survival Analysis: Theory and Application in Finance**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 120, pages 4087-4118, World Scientific Publishing Co. Pte. Ltd.. - Ding Du & Ou Hu, 2020.
"
**Pricing Liquidity in the Stock Market**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 121, pages 4119-4148, World Scientific Publishing Co. Pte. Ltd.. - Yi-Cheng Shih & Sheng-Syan Chen & Cheng Few Lee & Po-Jung Chen, 2020.
"
**The Evolution of Capital Asset Pricing Models: Update and Extension**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 122, pages 4149-4207, World Scientific Publishing Co. Pte. Ltd.. - Yoshihiko Tsukuda & Junji Shimada & Tatsuyoshi Miyakoshi, 2020.
"
**The Multivariate GARCH Model and its Application to East Asian Financial Market Integration**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 123, pages 4209-4254, World Scientific Publishing Co. Pte. Ltd.. - William H. Greene & Min (Shirley) Liu, 2020.
"
**Review of Difference-in-Difference Analyses in Social Sciences: Application in Policy Test Research**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 124, pages 4255-4280, World Scientific Publishing Co. Pte. Ltd.. - Liam A. Gallagher & Mark C. Hutchinson & John O’Brien, 2020.
"
**Using Smooth Transition Regressions to Model Risk Regimes**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 125, pages 4281-4311, World Scientific Publishing Co. Pte. Ltd.. - Cheng Few Lee & Hai-Chin Yu, 2020.
"
**Application of Discriminant Analysis, Factor Analysis, Logistic Regression, and KMV-Merton Model in Credit Risk Analysis**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 126, pages 4313-4348, World Scientific Publishing Co. Pte. Ltd.. - Ting Sun & Miklos A. Vasarhalyi, 2020.
"
**Predicting Credit Card Delinquencies: An Application of Deep Neural Networks**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 127, pages 4349-4381, World Scientific Publishing Co. Pte. Ltd.. - Peter Huaiyu Chen & Sheen Liu & Chunchi Wu, 2020.
"
**Estimating the Tax-Timing Option Value of Corporate Bonds**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 127, pages 4383-4419, World Scientific Publishing Co. Pte. Ltd.. - Peimin Chen & Chunchi Wu & Ying Zhang, 2020.
"
**DCC-GARCH Model for Market and Firm-Level Dynamic Correlation in S&P 500**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 127, pages 4421-4440, World Scientific Publishing Co. Pte. Ltd.. - Anthony Kozberg, 2020.
"
**Using Path Analysis to Integrate Accounting and Non-Financial Information: The Case for Revenue Drivers of Internet Stocks**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 127, pages 4441-4472, World Scientific Publishing Co. Pte. Ltd.. - Gregory McKee & Albert Kagan, 2020.
"
**The Implications of Regulation in the Community Banking Sector: Risk and Competition**," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 127, pages 4473-4507, World Scientific Publishing Co. Pte. Ltd..

## More about this item

### Keywords

Financial Econometrics; Financial Mathematics; Financial Statistics; Financial Technology; Machine Learning; Covariance Regression; Cluster Effect; Option Bound; Dynamic Capital Budgeting; Big Data;All these keywords.

### JEL classification:

**C01**- Mathematical and Quantitative Methods - - General - - - Econometrics**C1**- Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General**G32**- Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

### Statistics

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