Name: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning: (In 4 Volumes)
ISBN: 9789811202384

Book information

Authors: Cheng-Few Lee verified identity, John C. Lee verified identity, Alice C. Lee verified identity
First published: 2020
Editions known: 3
Publishers: WORLD SCIENTIFIC
Languages: eng
ISBN-13: 9789811202384, 9789811202391
Main topics: Financial Econometrics, Risk Management
Also covers: Quantitative Finance, Financial Machine Learning, Financial Data Engineering
Related site topics: Machine Learning for Market Forecasting, Market Simulation & Agent-Based Models, Risk Management & Tail Risk, Volatility Modeling & Forecasting

Overview

Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning is a book by Cheng-Few Lee, John C. Lee and Alice C. Lee, first published in 2020. In this catalogue it is classified mainly under Financial Econometrics and Risk Management, with secondary coverage of Quantitative Finance, Financial Machine Learning and Financial Data Engineering.

Audience and depth. The rule-based model places its mathematical difficulty at intermediate level (6/10); readers are typically expected to know calculus, linear algebra, machine learning, probability theory, statistics and stochastic processes.

Orientation. The theory-versus-practice balance could not be determined from metadata. The archive holds 6 papers whose topics and vocabulary overlap with this book; those links are inferred (see the research connections below).

How to read this page. Topics, difficulty, prerequisites and orientation are model-derived (rule-based, rule_based_v1) from bibliographic metadata such as title, subject headings and edition data. They were not produced by reading the book and are not a review. Relevance confidence is 97% and difficulty confidence is 90%; the catalogue lists no ratings or awards.

Research assessment

Rule-based and model-derived from metadata (title, subject headings, edition data). These are not reviews or ratings; see the evidence below.

Quant-finance relevance	70/100 confidence 97% Score 69.5/100. Strongest: quant_relevance 0.99, technical_depth 0.60; weakest: practical_applicability 0.10. Evidence: title:'financial econometrics', subjects:'financial engineering', openalex_topics:'volatility modeling'.
Mathematical difficulty	Intermediate (6/10) confidence 90%
Prerequisites	calculus, linear algebra, machine learning, probability theory, statistics, stochastic processes
Metadata quality	97%

Difficulty evidence (8 signals)

econometrics matched in subjects: “econometric”
econometrics matched in title: “econometric”
likelihood_bayes matched in subjects: “bayesian”
machine_learning matched in subjects: “machine learning”
machine_learning matched in title: “machine learning”
statistical_inference matched in subjects: “regression analysis”
statistical_inference matched in title: “statistics”
stochastic_processes matched in openalex_topics: “stochastic processes”

Research connections

Related papers on this site

Similarity of research area (shared vocabulary, topics and methods). Not citations: the paper does not necessarily cite this book.

Improving S&P 500 Volatility Forecasting through Regime-Switching Methods Topic similarity inferred similarity 0.52
Deep Learning Enhanced Realized GARCH Topic similarity inferred similarity 0.51
Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model Topic similarity inferred similarity 0.50
Hybrid Hidden Markov Model for Modeling Equity Excess Growth Rate Dynamics: A Discrete-State Approach with Jump-Diffusion Topic similarity inferred similarity 0.50
Semi-parametric financial risk forecasting incorporating multiple realized measures Topic similarity inferred similarity 0.49
VolTS: A Volatility-based Trading System to forecast Stock Markets Trend using Statistics and Machine Learning Topic similarity inferred similarity 0.42

Methods covered

Bayesian Methods inferred
Econometrics & Time-Series Methods inferred
Machine Learning (Non-Deep) inferred
Simulation & Agent-Based Models inferred

Similar books

Handbook of Quantitative Finance and Risk Management inferred similarity 0.67
Financial risk management with Bayesian estimation of GARCH models inferred similarity 0.66
Handbook of Financial Econometrics and Statistics inferred similarity 0.65
Financial Econometrics inferred similarity 0.64
Nonlinear Financial Econometrics inferred similarity 0.64

Author profiles

Cheng-Few Lee verified identity
John C. Lee verified identity
Alice C. Lee verified identity

External resources

Open Library
DOI
Search on Amazon (ISBN-13 9789811202391) (search link; may be an affiliate link)

Relationship graph

Solid lines are verified facts (authorship from persistent identifiers, editions); dashed lines are inferred by rules or similarity. Open in the full explorer.

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