Edited by Adrian R. Bell, University of Reading, UK, Chris Brooks, ICMA Centre, Henley Business School, University of Reading, UK and Marcel Prokopczuk, Leibniz University Hannover, Germany

• Contents: Preface PART I: ASSET PRICING AND INVESTMENTS1. Markov Switching Models in Asset Pricing ResearchMassimo Guidolin2. Portfolio Optimization: Theory and Practical ImplementationWilliam T. Ziemba 3. Testing for Speculative Bubbles in Asset PricesKeith Anderson, Chris Brooks and Apostolos Katsaris PART II: DERIVATIVES4. Estimating Term Structure Models with the Kalman FilterMarcel Prokopczuk and Yingying Wu5. American Option Pricing Using Simulation with an Application to the GARCH ModelLars Stentoft6. Derivatives Pricing with Affine Models and Numerical ImplementationKe Chen and Ser-Huang Poon 7. Markov Chain Monte Carlo with Particle Filtering Yongwoong Lee and Ser-Huang PoonPART III: BANKING AND MICROSTRUCTURE8. Competition in Banking: Measurement and InterpretationHong Liu, Phil Molyneux and John O.S. Wilson9. Using Heteroskedastic Models to Analyze the Use of Rules versus Discretion in Lending DecisionsGeraldo Cerqueiro, Hans Degryse and Steven Ongena10. Liquidity MeasuresThomas Johann and Erik Theissen 11. Testing for Contagion: The Impact of US Structured Markets on International Financial MarketsWoon Sau Leung and Nicholas Taylor PART IV: CORPORATE FINANCE 12. Empirical Mergers and Acquisitions Research: A Review of Methods, Evidence and Managerial ImplicationsAndrey Golubov, Dimitris Petmezas and Nickolaos G. Travlos 13. The Construction and Valuation Effect of Corporate Governance IndicesManuel Ammann, David Oesch and Markus Schmid14. Does Hedging Reduce Economic Exposure? Hurricanes, Jet Fuel Prices and AirlinesDavid A. Carter, Daniel A. Rogers, Betty J. Simkins and Stephen D. Treanor PART V: RISK MODELLING 15. Quantifying the Uncertainty in VaR and Expected Shortfall EstimatesSilvia Stanescu and Radu Tunaru16. Econometric Modeling of Exchange Rate Volatility and JumpsDeniz Erdemlioglu, Sébastien Laurent and Christopher J. Neely 17. Predicting Financial Distress of Companies: Revisiting the Z-Score and ZETA® ModelsEdward I. Altman18. Quantifying Time Variation and Asymmetry in Measures of Covariance Risk: A Simulation ApproachÓlan T. Henry, Nilss Olekalns and Kalvinder K. Shields Index

Edited by Adrian R. Bell, University of Reading, UK, Chris Brooks, ICMA Centre, Henley Business School, University of Reading, UK and Marcel Prokopczuk, Leibniz University Hannover, Germany

• Contents: Preface PART I: ASSET PRICING AND INVESTMENTS1. Markov Switching Models in Asset Pricing ResearchMassimo Guidolin2. Portfolio Optimization: Theory and Practical ImplementationWilliam T. Ziemba 3. Testing for Speculative Bubbles in Asset PricesKeith Anderson, Chris Brooks and Apostolos Katsaris PART II: DERIVATIVES4. Estimating Term Structure Models with the Kalman FilterMarcel Prokopczuk and Yingying Wu5. American Option Pricing Using Simulation with an Application to the GARCH ModelLars Stentoft6. Derivatives Pricing with Affine Models and Numerical ImplementationKe Chen and Ser-Huang Poon 7. Markov Chain Monte Carlo with Particle Filtering Yongwoong Lee and Ser-Huang PoonPART III: BANKING AND MICROSTRUCTURE8. Competition in Banking: Measurement and InterpretationHong Liu, Phil Molyneux and John O.S. Wilson9. Using Heteroskedastic Models to Analyze the Use of Rules versus Discretion in Lending DecisionsGeraldo Cerqueiro, Hans Degryse and Steven Ongena10. Liquidity MeasuresThomas Johann and Erik Theissen 11. Testing for Contagion: The Impact of US Structured Markets on International Financial MarketsWoon Sau Leung and Nicholas Taylor PART IV: CORPORATE FINANCE 12. Empirical Mergers and Acquisitions Research: A Review of Methods, Evidence and Managerial ImplicationsAndrey Golubov, Dimitris Petmezas and Nickolaos G. Travlos 13. The Construction and Valuation Effect of Corporate Governance IndicesManuel Ammann, David Oesch and Markus Schmid14. Does Hedging Reduce Economic Exposure? Hurricanes, Jet Fuel Prices and AirlinesDavid A. Carter, Daniel A. Rogers, Betty J. Simkins and Stephen D. Treanor PART V: RISK MODELLING 15. Quantifying the Uncertainty in VaR and Expected Shortfall EstimatesSilvia Stanescu and Radu Tunaru16. Econometric Modeling of Exchange Rate Volatility and JumpsDeniz Erdemlioglu, Sébastien Laurent and Christopher J. Neely 17. Predicting Financial Distress of Companies: Revisiting the Z-Score and ZETA® ModelsEdward I. Altman18. Quantifying Time Variation and Asymmetry in Measures of Covariance Risk: A Simulation ApproachÓlan T. Henry, Nilss Olekalns and Kalvinder K. Shields Index