Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models by G. GregoriouNonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models by G. Gregoriou

Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models

EditorG. Gregoriou, R. Pascalau

Hardcover | December 21, 2010

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This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinear models for hedging purposes, and proposes new computational techniques to estimate financial processes.
GREG N. GREGORIOU is Professor of Finance at State University of New York, USA. He has published 41 books, over 60 refereed publications and 22 book chapters. His research interests focus on hedge funds, funds of hedge funds and managed futures. RAZVAN PASCALAU is Assistant Professor of Economics at State University of New York, USA. ...
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Title:Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian ModelsFormat:HardcoverDimensions:240 pages, 8.5 × 5.51 × 0 inPublished:December 21, 2010Publisher:Palgrave Macmillan UKLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0230283659

ISBN - 13:9780230283657

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Table of Contents

PART I: FORECASTING MODELS
The Yield of Constant Maturity 10-Year U.S. Treasury Notes: Stumbling Towards an Accurate Forecast; R.Weißbach, W.Poniatowski& G.Zimmermann
Estimating the APT Factor Sensitivities Using Quantile Regression; Z.Adams, R.Füss, P.Grüber, U.Hommel& H.Wohlenberg
Financial Risk Forecasting with Non-Stationarity; H.K.K.Tung& M.C.S.Wong
International Portfolio Choice: A Spanning Approach; B.Tims& R.Mahieu
Quantification of Risk and Return for Portfolio Optimization: A Comparison of Forecasting Models; N.S.Thomaidis, E.Roumpis& V.Karavas
Hedging Effectiveness in The Index Futures Market; L.Copeland& Y.Zhu
PART II: COMPUTATIONAL AND BAYESIAN METHODS
A Bayesian Framework for Explaining the Rate Spread on Corporate Bonds; O.Chakroun& R.Ben-Abdallah
GARCH, Outliers and Forecasting Volatility; P.H.Franses& D.van Dijk
Is There a Relation between Discrete Time GARCH and Continuous Time Diffusion Models?; T.Bali
The Recursive Fitting of Multivariate Complex Subset ARMA Models in Financial Econometrics; J.Penm & R.D.Terrell