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Gregoriou, Greg N.

Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models

Gregoriou, Greg N. - Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models, ebook

138,25€

Ebook, PDF with Adobe DRM
ISBN: 9780230295223
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Table of contents

Part I. Forecasting Models

1. The Yield of Constant Maturity 10-Year US Treasury Notes
Rafael Weiβbach, Wladyslaw Poniatowski, Guido Zimmermann

2. Estimating the Arbitrage Pricing Theory Factor Sensitivities Using Quantile Regression
Zeno Adams, Roland Füss, Philipp Grüber, Ulrich Hommel, Holger Wohlenberg

3. Financial Risk Forecasting with Non-Stationarity
Humphrey K. K. Tung, Michael C. S. Wong

4. International Portfolio Choice
Ben Tims, Ronald Mahieu

5. Quantification of Risk and Return for Portfolio Optimization
Nikos S. Thomaidis, Efthimios I. Roumpis, Vassilios N. Karavas

6. Hedging Effectiveness in the Index Futures Market
Laurence Copeland, Yanhui Zhu

Part II. Computational and Bayesian Methods

7. A Bayesian Framework for Explaining the Rate Spread on Corporate Bonds
Oussama Chakroun, Ramzi Ben-Abdallah

8. GARCH, Outliers, and Forecasting Volatility
Philip Hans Franses, Dick Dijk

9. Is There a Relation between Discrete-Time GARCH and Continuous-Time Diffusion Models?
Turan G. Bali

10. The Recursions of Subset VECM/State-Space Models and Their Applications to Nonlinear Relationships of Nickel Price Formation in Conditions of Climate Change
Jack Penm, R. D. Terrell

Keywords: Business and Management, Business Mathematics, Econometrics, Business Finance, Economic Theory/Quantitative Economics/Mathematical Methods, Finance, general

Editor
 
Publisher
Springer
Publication year
2011
Language
en
Edition
1
Page amount
218 pages
Category
Economy
Format
Ebook
eISBN (PDF)
9780230295223
Printed ISBN
978-1-349-32896-3

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