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Table of Contents
Preface; Contents; Part I Risk Modeling; 1 Directional Returns for Gold and Silver: A Cluster Analysis Approach; 1.1 Introduction and Literature Review; 1.2 Data Collection and Preparation; 1.3 Methodology: Two-Step Cluster Analysis; 1.4 Gold with Clusters; 1.4.1 Training Set Variable Importance; 1.4.2 Validation Set Results for the Gold Models; 1.5 Silver with Clusters; 1.5.1 Training Set Variable Importance; 1.5.2 Validation Set Results for the Silver Models; 1.6 Summary and Conclusions; References; 2 Impact of Credit Risk and Business Cycles on Momentum Returns; 2.1 Introduction
2.2 Literature Review2.2.1 The Persistence of Momentum Returns in Different Dimensions; 2.2.2 Momentum Returns and Credit Ratings; 2.2.3 Momentum Returns and Risk Factors; 2.3 Data; 2.3.1 Methods; 2.4 Empirical Findings; 2.4.1 Can the Fama-French Three Factors Explain Momentum Returns in Credit-Rated Stocks?; 2.4.2 Can Market States Explain the Momentum Returns in Credit-Rated Stocks?; 2.4.3 Can Macroeconomic Factors Explain the Momentum Returns in Credit-Rated Stocks?; 2.5 Conclusions; Appendix: S&P Credit Rating; References
3 Drivers of LBO Operating Performance: An Empirical Investigation in Asia3.1 Introduction; 3.2 Literature Review; 3.2.1 Tax Benefit; 3.2.2 Free Cash-Flow; 3.2.3 Ownership Structure; 3.2.4 Macroeconomic Factors; 3.3 Institutional Background of Emerging Economies: The Case of Asia; 3.3.1 Academic Background; 3.3.2 Institutional Background; 3.4 Data Sources and Descriptive Statistics; 3.4.1 Sample Description; 3.4.2 Benchmark Comparison; 3.4.3 Descriptive Statistics; 3.4.4 Analysis and Discussion; 3.5 Results; 3.5.1 OLS Model; 3.5.2 Introduction of LBO Dummy Variable
3.5.3 Introduction of Geographical Area Dummy Variables3.5.4 Geographical Areas and Governance (Table 3.8); 3.5.5 Efficiency and Profitability Impacts (Table 3.9); 3.6 Conclusion; References; 4 Time Varying Correlation: A Key Indicator in Finance; 4.1 Introduction; 4.2 Recent Literature; 4.3 The Correlation Measure; 4.3.1 Data Simulation; 4.3.2 Comparing the Correlation Estimators; 4.4 Measuring Correlation; 4.4.1 Stationarity of the Series; 4.4.2 Structural Breaks; 4.4.3 Correlations Between Commodities and Financial Markets; 4.4.4 Correlations Between Energy Commodities
4.5 Concluding RemarksReferences; 5 Measuring Model Risk in the European Energy Exchange; 5.1 Introduction and Background; 5.2 The Relative Measure of Model Risk; 5.3 Data and Preliminary Analysis; 5.4 Model Setting and Estimation; 5.4.1 The GARCH Methodology; 5.4.2 Dynamic Model Risk Quantification; 5.5 Empirical Results; 5.6 Conclusions and Future Research; References; Part II Pricing and Valuation; 6 Wine Futures: Pricing and Allocation as Levers Against Quality Uncertainty; 6.1 Introduction; 6.1.1 Winemaking Process and the Tasting Reviews; 6.2 Literature Review.
2.2 Literature Review2.2.1 The Persistence of Momentum Returns in Different Dimensions; 2.2.2 Momentum Returns and Credit Ratings; 2.2.3 Momentum Returns and Risk Factors; 2.3 Data; 2.3.1 Methods; 2.4 Empirical Findings; 2.4.1 Can the Fama-French Three Factors Explain Momentum Returns in Credit-Rated Stocks?; 2.4.2 Can Market States Explain the Momentum Returns in Credit-Rated Stocks?; 2.4.3 Can Macroeconomic Factors Explain the Momentum Returns in Credit-Rated Stocks?; 2.5 Conclusions; Appendix: S&P Credit Rating; References
3 Drivers of LBO Operating Performance: An Empirical Investigation in Asia3.1 Introduction; 3.2 Literature Review; 3.2.1 Tax Benefit; 3.2.2 Free Cash-Flow; 3.2.3 Ownership Structure; 3.2.4 Macroeconomic Factors; 3.3 Institutional Background of Emerging Economies: The Case of Asia; 3.3.1 Academic Background; 3.3.2 Institutional Background; 3.4 Data Sources and Descriptive Statistics; 3.4.1 Sample Description; 3.4.2 Benchmark Comparison; 3.4.3 Descriptive Statistics; 3.4.4 Analysis and Discussion; 3.5 Results; 3.5.1 OLS Model; 3.5.2 Introduction of LBO Dummy Variable
3.5.3 Introduction of Geographical Area Dummy Variables3.5.4 Geographical Areas and Governance (Table 3.8); 3.5.5 Efficiency and Profitability Impacts (Table 3.9); 3.6 Conclusion; References; 4 Time Varying Correlation: A Key Indicator in Finance; 4.1 Introduction; 4.2 Recent Literature; 4.3 The Correlation Measure; 4.3.1 Data Simulation; 4.3.2 Comparing the Correlation Estimators; 4.4 Measuring Correlation; 4.4.1 Stationarity of the Series; 4.4.2 Structural Breaks; 4.4.3 Correlations Between Commodities and Financial Markets; 4.4.4 Correlations Between Energy Commodities
4.5 Concluding RemarksReferences; 5 Measuring Model Risk in the European Energy Exchange; 5.1 Introduction and Background; 5.2 The Relative Measure of Model Risk; 5.3 Data and Preliminary Analysis; 5.4 Model Setting and Estimation; 5.4.1 The GARCH Methodology; 5.4.2 Dynamic Model Risk Quantification; 5.5 Empirical Results; 5.6 Conclusions and Future Research; References; Part II Pricing and Valuation; 6 Wine Futures: Pricing and Allocation as Levers Against Quality Uncertainty; 6.1 Introduction; 6.1.1 Winemaking Process and the Tasting Reviews; 6.2 Literature Review.