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Nonlinear financial econometrics = F...

Gregoriou, Greg N., (1956-)

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Nonlinear financial econometrics = Forecasting models, computational and Bayesian models /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Nonlinear financial econometrics/ edited by Greg N. Gregoriou, Razvan Pascalau.
其他題名:	Forecasting models, computational and Bayesian models /
其他作者:	Gregoriou, Greg N.,
出版者:	Basingstoke :Palgrave Macmillan, : 2010.,
面頁冊數:	1 online resource.
內容註:	The Yield of Constant Maturity 10-Year U.S. Treasury Notes: Stumbling Towards an Accurate Forecast / R. Wei�ach, W. Poniatowski & G. Zimmermann -- Estimating the APT Factor Sensitivities Using Quantile Regression / Z. Adams, R. F�uss, P. Gr�uber, 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 -- 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.
標題:	Interest rates - Forecasting -
電子資源:	http://www.palgraveconnect.com/doifinder/10.1057/9780230295223An electronic book accessible through the World Wide Web; click for information
ISBN:	9780230295223 (electronic bk.)

Nonlinear financial econometrics = Forecasting models, computational and Bayesian models /
Nonlinear financial econometricsForecasting models, computational and Bayesian models /[electronic resource] :edited by Greg N. Gregoriou, Razvan Pascalau. - Basingstoke :Palgrave Macmillan,2010. - 1 online resource.

The Yield of Constant Maturity 10-Year U.S. Treasury Notes: Stumbling Towards an Accurate Forecast / R. Wei�ach, W. Poniatowski & G. Zimmermann -- Estimating the APT Factor Sensitivities Using Quantile Regression / Z. Adams, R. F�uss, P. Gr�uber, 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 -- 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.

This book assesses several competing forecasting models for interest rates, financial returns, and realized volatility. In particular, the book proposes new forecasting tools; for instance, an iterative outlier detection procedure to detect and handle outliers in models for the volatility. In addition, the book discusses in detail the construction of optimal portfolios based on out-of-sample forecasting techniques. It also addresses the effectiveness of hedging in futures markets and proposes a Bayesian framework to explain the rate spreads on corporate bonds.

ISBN: 9780230295223 (electronic bk.)

Standard No.: 9786612998775

Source: 484472Palgrave Macmillanhttp://www.palgraveconnect.comSubjects--Topical Terms:

1973781
Interest rates
--ForecastingIndex Terms--Genre/Form:

542853
Electronic books.

LC Class. No.: HG1622 / .N66 2010

Dewey Class. No.: 332.6323015118

Nonlinear financial econometrics = Forecasting models, computational and Bayesian models /
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505 0 $a The Yield of Constant Maturity 10-Year U.S. Treasury Notes: Stumbling Towards an Accurate Forecast / R. Wei�ach, W. Poniatowski & G. Zimmermann -- Estimating the APT Factor Sensitivities Using Quantile Regression / Z. Adams, R. F�uss, P. Gr�uber, 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 -- 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.
520 $a This book assesses several competing forecasting models for interest rates, financial returns, and realized volatility. In particular, the book proposes new forecasting tools; for instance, an iterative outlier detection procedure to detect and handle outliers in models for the volatility. In addition, the book discusses in detail the construction of optimal portfolios based on out-of-sample forecasting techniques. It also addresses the effectiveness of hedging in futures markets and proposes a Bayesian framework to explain the rate spreads on corporate bonds.
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