Data Science for Financial Econometrics

Preface
Contents
Theoretical Research
A Theory-Based Lasso for Time-Series Data
1 Introduction
2 Basic Setup and Notation
3 Literature Review
4 Sparsity and the Rigorous or Plug-In Lasso
4.1 High-Dimensional Data and Sparsity
4.2 The Penalisation Approach and the Lasso
4.3 The Lasso: Choice of Penalty Level
4.4 Cross-Validation
4.5 Cross-Validation for Time Series
5 The `Rigorous' or `Plug-in' Lasso
5.1 Implementing the Rigorous Lasso
5.2 The Rigorous Lasso for Panel Data
6 The Rigorous Lasso for Time-Series Data
7 Monte Carlo
8 Application to Nowcasting
8.1 Data
8.2 Results
References
Why LASSO, EN, and CLOT: Invariance-Based Explanation
1 Formulation of the Problem
2 General and Probabilistic Regularizations
3 Natural Invariances
4 Why LASSO: First Result
5 Why EN and CLOT
6 Beyond EN and CLOT?
References
Composition of Quantum Operations and Their Fixed Points
1 Introduction
2 Main Results
3 Conclusion
References
Information Quality: The Contribution of Fuzzy Methods
1 Introduction
2 Aspects of Information Quality
3 Fuzzy Solutions to Data Quality Problems
4 Fuzzy Approaches to Other Information Quality Dimensions
4.1 Relevance of Information
4.2 Trust or Veracity of Information
4.3 Understandability of Information
5 Conclusion
References
Parameter-Centric Analysis Grossly Exaggerates Certainty
1 Over-Certainty
2 Theory
3 Analytic Examples
3.1 Poisson
3.2 Normal, σ2 Known
3.3 Normal, σ2 Unknown
3.4 Regression, σ2 Known
3.5 Other Models
4 Numeric Examples
4.1 Poisson
4.2 Normal, σ Unknown
4.3 Regression 1, σ2 Known
4.4 Regression 2, σ2 Unknown
5 Comparing Apples and Kiwis
References
Three Approaches to the Comparison of Random Variables
1 Introduction
2 Stochastic Dominance
3 Statistical Preference
4 Probabilistic Preference
5 Conclusion
References
A QP Framework: A Contextual Representation of Agents' Preferences in Investment Choice
1 Introduction
2 Classical Versus Quantum Probability
2.1 Interference of Probabilities
2.2 Non-Bayesian Probability Inference
3 Agents' (contextual) Investment Behaviour and Deviations from Rational Expectations
3.1 Myopia and Investment Behaviour
3.2 Ambiguous Preference States: Non-neutral Ambiguity Attitude Of investors
3.3 Quantum-Type Contextuality of Human Preferences: Entanglement and Non-separable States
4 Concluding Remarks
References
How to Make a Decision Based on the Minimum Bayes Factor (MBF): Explanation of the Jeffreys Scale
1 Formulation of the Problem
2 Our Explanation
References
An Invitation to Quantum Probability Calculus
1 Introduction
2 A Mathematical Language
3 Quantum Probability Spaces
4 Quantum Probability Calculus
References
Extending the A Priori Procedure (APP) to Address Correlation Coefficients
1 Introduction
2 Some Properties of Normal Distribution
3 The Minimum Sample Size Needed for a Given Sampling Precision for Estimating the Correlation ρ
4 The Simulation Study
References
Variable Selection and Estimation in Kink Regression Model
1 Introduction
2 Estimation
2.1 LASSO Estimation for Kink Regression
2.2 Tuning Parameter Selection Using Information Criteria
3 Monte Carlo Experiments
3.1 First Experiment Study: Accuracy of the LASSO Estimation
3.2 Second Experiment Study: Accuracy of the LASSO Estimation Which Corresponds to the Sparse Case
3.3 Third Experiment Study: Accuracy of the LASSO Estimation Under Different Number of Predictors
4 Data Example
5 Conclusion
References
Practical Applications
Performance of Microfinance Institutions in Vietnam
1 Introduction
2 Literature Review
3 Research Methods
3.1 Data Envelopment Analysis
3.2 Data
4 Research Results
5 Conclusion
References
Factors Influencing on University Reputation: Model Selection by AIC
1 Introduction
2 Literature Review
2.1 Social Contributions (SCN)
2.2 Environments (EN)
2.3 Leadership (LE)
2.4 Funding (FU)
2.5 Research and Development (RD)
2.6 Student Guidance (SG)
3 Methodology
3.1 Sample and Data
3.2 Blinding
3.3 Datasets
3.4 Data Analysis
4 Empirical Results
4.1 Reliability and Validity
4.2 Akaike’s Information Criteria (AIC)
5 Conclusion
References
Impacts of Internal and External Macroeconomic Factors on Firm Stock Price in an Expansion Econometric model—A Case in Vietnam Real Estate Industry
1 Introduction
2 Research Issues
3 Literature Review
4 Overview on Vietnam Macro Economy and Stock Market
5 Conceptual Theories
6 Research Method and Data
7 General Data Analysis
8 Regression Analysis and Main Results
9 Limitation of the Model
10 Discussion for Further Research
11 Conclusion and Policy Suggestion
References
How Values Influence Economic Progress? Evidence from South and Southeast Asian Countries
1 Introduction
2 Theoretical Background
2.1 Definition of Culture
2.2 Hofstede's Cultural Dimensions
3 Research Method and Data
3.1 Method
3.2 Research Data
4 Results of Bayesian Regression
4.1 Bayesian Simulations
4.2 Model Selection
4.3 Discussion
5 Conclusion
References
Assessing the Determinants of Interest Rate Transmission in Vietnam
1 Introduction
2 Literature Review
3 Interest Rate Transmission in Vietnam
3.1 Correlation of the Policy Rate with Market Rates
3.2 Interest Rate Transmission: Empirical Evidence
4 Conclusion and Recommendation
Appendix 1: Result of Pass-Through Model from DIR to IB1 in Long Run
Appendix 2: Result of Pass-Through Model from RER to IB1 in Long Run
Appendix 3: Result of ECM Model from DIR to IB1 in Short Run
Appendix 4: Result of ECM Model from RER to IB1 in Short Run
Appendix 5: Result of Pass-Through Model from IB1 to LR in Long Run
Appendix 6: Result of Pass-Through Model from IB1 to DR in Long Run
Appendix 7: Result of ECM Model from IB1 to DR in Short Run
Appendix 8: Result of ECM Model from IB1 to LR in Short Run
References
Applying Lasso Linear Regression Model in Forecasting Ho Chi Minh City's Public Investment
1 Introduction
2 Research Model and Data
2.1 Research Model
2.2 Research Data
3 Empirical Results
4 Conclusion
References
Markov Switching Quantile Regression with Unknown Quantile τ Using a Generalized Class of Skewed Distributions: Evidence from the U.S. Technology Stock Market
1 Introduction
2 Methodology
2.1 Skew Likelihood Distributions
2.2 Markov Switching-Quantile Regression with Skewed Distribution
2.3 Bayesian Inference
2.4 Outline of the Estimation Procedure
3 Data Specification
4 Estimated Results
4.1 Model Selection
4.2 Estimated Parameter Results
5 Conclusion
References
Investment Behavior, Financial Constraints and Monetary Policy – Empirical Study on Vietnam Stock Exchange
1 Introduction
2 Literature Review
3 Methdology
3.1 Data Description
3.2 Models
4 Results
4.1 Descriptive results
4.2 The effect of external finance on corporate investment behavior by monetary policy transmission
4.3 Effect of external finance in monetary policy transmission mechanism to corporate investment behavior when company is financial constrained
5 Conclusion
References
Non-interest Income and Competition: The Case of Vietnamese Commercial Banks
1 Introduction
2 Theoretical Background
3 Research Methodology
3.1 Research Model
3.2 Research Methodology
4 Research Results
5 Conclusion
References
Reconsidering Hofstede's Cultural Dimensions: A Different View on South and Southeast Asian Countries
1 Introduction
2 Theoretical Framework and Hypotheses
2.1 Hofstede's Cultural Dimensions Theory
2.2 The Relationship Between Economic Performance and Cultural Values
2.3 Research Hypotheses
3 Methodology and Data
3.1 Research Method
3.2 Data
4 Empirical Results
4.1 Bayesian Simulations and Model Comparison
4.2 Discussion
5 Conclusion
References
Risk, Return, and Portfolio Optimization for Various Industries Based on Mixed Copula Approach
1 Introduction
2 Methods and Procedures
2.1 Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
2.2 Copula Concept
2.3 Mixed Copulas
2.4 Optimization Portfolio
3 Data
4 Empirical Results
4.1 Model Selection
4.2 Copula Parameter Estimates
4.3 Comparing Portfolio Performances
5 Conclusion
References
Herding Behavior Existence in MSCI Far East Ex Japan Index: A Markov Switching Approach
1 Introduction
2 Methodology
2.1 Herding Behavior Detection Model
2.2 Markov Switching in Herding Behavior
2.3 Markov Switching in Herding Behavior with Time Varying Coefficients
3 Data Description
4 Empirical Result
4.1 Model Selection
4.2 Estimation Results
5 Conclusion
References
Recovering from the Recession: A Bayesian Change-Point Analysis
1 Introduction
2 Research Methodology and Data
2.1 Methodology
2.2 Bayesian Change-Point Model
2.3 Data Description
3 Empirical Results
3.1 Bayesian Simulation
3.2 Test for MCMC Convergence
3.3 Discussion
4 Conclusion
References
Ownership Structure and Firm Performance: Empirical Study in Vietnamese Stock Exchange
1 Introduction
2 Literature Review
2.1 Theory Background
2.2 Institutional Ownership and Firm Performance
2.3 Managerial Ownership and Firm Performance
3 Data and Methodology
4 Results
4.1 Descriptive Statistics
4.2 Research Results
5 Conclusion
References
Support Vector Machine-Based GARCH-type Models: Evidence from ASEAN-5 Stock Markets
1 Introduction
2 Methodology
2.1 Support Vector Machine
2.2 GARCH-type Models
2.3 GARCH Models Estimation Using SVM
2.4 Performance Criteria
3 ASEAN-5 Stock Markets Data Description
3.1 Comparison of the Forecasting Performance of the GARCH-Type Models
4 Conclusion
References
Macroeconomic Determinants of Trade Openness: Empirical Investigation of Low, Middle and High-Income Countries
1 Introduction
2 Methodology
2.1 Panel Regression with Heterogeneous Time Trends
2.2 Model Specifications of Panel Regression Model
3 Data and Model Specification
4 Estimation Results of the Panel Regression Model
5 Conclusion
References
Determinants of Bank Profitability in Vietnam: An Empirical Lasso Study
1 Introduction
2 Literature Review
3 Data and Methodology
3.1 Data Sources
3.2 Methodology
4 Empirical Results
4.1 NIM
4.2 ROA
4.3 ROE
5 Conclusion
References
Financial Performance and Organizational Downsizing: Evidence from Smes in Vietnam
1 Introduction
2 Literature Review
3 Data and Research Model
3.1 The Data
3.2 Research Model
3.3 The LASSO Linear Regression
4 Research Results
4.1 In 2013
4.2 In 2015
5 Conclusions
References
A New Hybrid Iterative Method for Solving a Mixed Equilibrium Problem and a Fixed Point Problem for Quasi-Bregman Strictly Pseudocontractive Mappings
1 Introduction
1.1 Iterative Algorithms for Finding Fixed Points
1.2 Application for Solving Equilibrium Problems
2 Preliminaries
2.1 Banach Spaces and Fixed Points
2.2 Functions on Banach Spaces
2.3 Bregman Distances
2.4 Known Results on Bregman Distances
2.5 Mixed Equilibrium Problems
3 Main Result
References
Copula-Based Stochastic Frontier Quantile Model with Unknown Quantile
1 Introduction
2 Methodology
2.1 The Copula-Based Stochastic Frontier Quantile Model (SFQM) with Unknown Quantile
2.2 Copula Functions
3 Estimation of the Copula-Based SFQM
4 Simulation Study
5 Application
5.1 Application 1: Agricultural Production in Asia
5.2 Application 2: Production Analysis of Tim Coelli (1996)
5.3 Estimates of Technical Efficiency Score
5.4 Conclusion
References
Forecasting Volatility of Oil Prices via Google Trend: LASSO Approach
1 Introduction
2 Methodology
2.1 Generalized Autoregressive Conditional Heteroskedasticity (GARCH)
2.2 Least Absolute Shrinkage and Selection Operator (LASSO)
3 Data Description
4 Empirical Results
5 Conclusion
References
Innovation and Earnings Quality: A Bayesian Analysis of Listed Firms in Vietnam
1 Introduction
2 Literature Review and Hypothesis Development
2.1 Earnings Quality Definition
2.2 Innovation Definition
2.3 The Relationship Between Innovation and Earnings Quality
3 Research Design
3.1 Earnings Quality Measures
3.2 Innovation Measure
3.3 Model Specification
4 Results Discussion
4.1 Data Description
4.2 Baseline Results
4.3 Robustness
5 Conclusion
References
Impact of Macroeconomic Factors on Bank Stock Returns in Vietnam
1 Introduction
2 Theoretical Background and an Overview of Empirical Studies
2.1 The Return of Stock
2.2 Theories on the Impact of Macroeconomic Factors on Stock Returns
2.3 Empirical Studies on the Impact of Macroeconomic Factors on Stock Return
3 Research Method
3.1 Research Model and Research Hypothesis
3.2 Data and Variables
3.3 Research Method
3.4 Regression Model
3.5 Results and Discussions
4 Conclusions
References
The Impact of Auditor Size and Auditor Tenure on Banks' Income Smoothing in Developing Countries: Evidence from Vietnam
1 Introduction
2 Hypotheses Development
2.1 Auditor Size
2.2 Auditor Tenure
3 Research Design
3.1 Sample Selection
3.2 Model Specification
4 Results
4.1 Descriptive Statistics
4.2 Correlations Among Variables
4.3 Regression Results
4.4 Bayes Factor Analysis
5 Discussions
6 Conclusions
References
The Threshold for the Efficient Scale of Vietnamese Commercial Banks: A Study Based on Bayesian Model
1 Introduction
2 Theoretical Framework and Literature Review
3 Methodology
4 Research Model
5 Research Data
6 Resutls After Using Bayesian Regression Model
7 Conclusion
References
Impact of Outreach on Operational Self-Sufficiency and Profit of Microfinance Institutions in Vietnam
1 Introduction
2 Review of Related Literature
2.1 Research on Outreach, OSS and Profit
2.2 Research on the Impact of Outreach to OSS
2.3 Research on Profits of Microfinance Institutions
3 Data and Model Specification
3.1 Research Data
3.2 Data and Sample Overview
3.3 Methodology
4 Empiricial Results
4.1 Regression Analysis Results
4.2 Impact of Outreach on OSS
4.3 Impact of Outreach on Profit
5 Conclusions
References
Credit Growth Determinants—The Case of Vietnamese commercial Banks
1 Introduction
2 Literature Review
3 Methodology and Data
4 Empirical Results and Discussion
4.1 Empirical Results
5 Discussion
5.1 For Micro Determinants
5.2 For the Macro Determinants
6 Conclusion
Appendix 1: Descriptive Table
Appendix 2: Correlation Matrix of the Variables
Appendix 3: VIF Indicators
Appendix 4: Pooled OLS Regression Results
Appendix 5: FEM Regression Results
Appendix 6: FEM Regression Results
Appendix 7: F Test for Choosing FEM or OLS
Appendix 8: Breusch—Pagan LM Test for Choosing REM or OLS
Appendix 9: Hausman Test for Choosing FEM or REM
Appendix 10: Modified Wald Test for Heteroskedasticity
Appendix 11: Wooldridge Test for Autocorrelation
Appendix 12: GLS Regression Results
Appendix 13: Regression Results from GLS Method and Bayesian Approach
References
Measuring Dependence in China-United States Trade War: A Dynamic Copula Approach for BRICV and US Stock Markets
1 Introduction
2 Methodology
2.1 Structure of GARCH Models with Jumps
2.2 DCC-Copula GARCH
2.3 Estimation
3 Data
3.1 Estimation Results
4 Conclusion
References
The Effect of Governance Characteristics on Corporate Performance: An Empirical Bayesian Analysis for Vietnamese Publicly Listed Companies
1 Introduction
2 Literature Review
2.1 Theoretical Background
2.2 Empirical Evidence
3 Data and Methodology
3.1 Sample and Data
3.2 Description of Variables
3.3 Model Specification
4 Results
4.1 Descriptive Statistics Analysis
4.2 Results and Discussion
5 Concluding Remarks
References
Applying LSTM to Predict Firm Performance Based on Annual Reports: An Empirical Study from the Vietnam Stock Market
1 Introduction
2 Methodology
2.1 Data
2.2 Long Short Term Memory
2.3 Benchmark Models
2.4 List of Performance Measures
3 Empirical Results
4 Conclusion
References
Does Capital Affect Bank Risk in Vietnam: A Bayesian Approach
1 Introduction
2 Literature Review
3 Research Method
4 Empirical Results
4.1 LLR
4.2 NPL
5 Conclusion
References