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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 /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Nonlinear financial econometrics/ edited by Greg N. Gregoriou, Razvan Pascalau.
Reminder of title:	Forecasting models, computational and Bayesian models /
other author:	Gregoriou, Greg N.,
Published:	Basingstoke :Palgrave Macmillan, : 2010.,
Description:	1 online resource.
[NT 15003449]:	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.
Subject:	Interest rates - Forecasting -
Online resource:	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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020 $a 9780230295223 (electronic bk.)
020 $a 0230295223 (electronic bk.)
020 $a 9780230283657 (Cloth)
020 $a 0230283659 (Cloth)
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245 0 0 $a Nonlinear financial econometrics $h [electronic resource] : $b Forecasting models, computational and Bayesian models / $c edited by Greg N. Gregoriou, Razvan Pascalau.
260 $a Basingstoke : $b Palgrave Macmillan, $c 2010.
300 $a 1 online resource.
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.
588 $a Description based on print version record.
650 0 $a Interest rates $x Forecasting $x Econometric models. $3 1973781
655 4 $a Electronic books. $2 lcsh $3 542853
700 1 $a Gregoriou, Greg N., $d 1956- $3 763690
700 1 $a Pascalau, Razvan. $3 1973342
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776 0 8 $i Print version: $t Nonlinear financial econometrics. Forecasting models, computational and Bayesian models. $d Basingstoke : Palgrave Macmillan, 2010 $z 9780230283657 $w (OCoLC)655652370
856 4 0 $3 Palgrave Connect $u http://www.palgraveconnect.com/doifinder/10.1057/9780230295223 $z An electronic book accessible through the World Wide Web; click for information
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938 $a Coutts Information Services $b COUT $n 17389070 $c 65.00 GBP
938 $a Ingram Digital eBook Collection $b IDEB $n 299877
994 $a C0 $b TEF