Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models - Brossura

Brossura

ISBN 10: 1349328952 ISBN 13: 9781349328956

Casa editrice: Palgrave MacMillan, 2010

Riassunto

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

Dettagli dell?edizione

• Editore: Palgrave MacMillan
• Data di pubblicazione: 2010
• ISBN 10: 1349328952
• ISBN 13: 9781349328956
• Rilegatura: Paperback
• Lingua: Inglese
• Contatto del produttore: non disponibile