Description: Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models by G. Gregoriou, R. Pascalau 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. FORMAT Paperback LANGUAGE English CONDITION Brand New Publisher Description 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. Author Biography TURAN GOKCEN BALI David Krell Chair Professor of Finance at Baruch College and the Graduate School and University Center of the City University of New York, USA.RAMZI BEN-ABDALLAH Assistant Professor at the Department of Finance at the School of Management, University of Quebec at Montréal, Canada.OUSSAMA CHAKROUN Lecturer at the Finance department of HEC Montréal, CanadaLAURENCE COPELANDMICHAEL MCALEER Distinguished Professor in the Department of Quantitative Economics, Complutense University of Madrid, Spain.PHILIP HANS FRANSES Professor of Econometrics and Professor of Marketing Research, both at the Erasmus School of Economics, the NetherlandsA. STAN HURN Professor in the School of Economics and Finance, the Queensland University of Technology, AustraliaJOSEPH JEISMAN Quantitative Analyst at the Institutional Banking and Markets division, developing models of fixed interest securities with particular emphasis on the LIBOR marketVASSILIS N. KARAVAS Managing Director at Credit Agricole Asset Management Alternative InvestmentsKENNETH LINDSAY Professor of Applied Mathematics at the Department of Mathematics of the University of Glasgow, UKMARCELO CUNHA MEDEIROS Associate Professor in the Department of Economics, Catholic University of Rio de Janeiro, BrazilJACK PENM Academic Level D at the Australian National UniversityEFTHIMIOS ROUMPIS PhD candidate in Finance at the Department of Shipping, Trade and Transport, in School of Business, University ofthe Aegean, GreeceNIKOS S. THOMAIDIS Lecturer of Financial Engineering at University of the Aegean, Greece.HUMPHREY K. K. TUNG Visiting Assistant Professor of Finance of City University of Hong Kong.DICK VAN DIJK Professor in Financial Econometrics at the Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, the NetherlandsRAFAEL WEIßBACH Chair for Econometrics at the Faculty of Economics, University of Mannheim, GermanyMICHAEL C. S. WONG Associate Professor of Finance of City University of Hong KongYANHUI ZHUGUIDO ZIMMERMANN Senior Credit Analyst in the Landesbank Baden-Wurttemberg (LBBW), Stuttgart, Germany 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 Promotional Springer Book Archives Details ISBN1349328960 Language English ISBN-10 1349328960 ISBN-13 9781349328963 Format Paperback Publisher Palgrave Macmillan Short Title NONLINEAR FINANCIAL ECONOMETRI Media Book Year 2011 Publication Date 2011-01-01 Pages 195 Edition 1st Imprint Palgrave Macmillan Place of Publication Basingstoke Country of Publication United Kingdom UK Release Date 2011-01-01 AU Release Date 2011-01-01 NZ Release Date 2011-01-01 Author R. Pascalau Illustrations XXIII, 195 p. Edited by R. Pascalau Edition Description 1st ed. 2011 Alternative 9780230283657 DEWEY 332.63230151 Audience Professional & Vocational We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:132998524;
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ISBN-13: 9781349328963
Book Title: Nonlinear Financial Econometrics: Forecasting Models, Computation
Number of Pages: 195 Pages
Language: English
Publication Name: Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models
Publisher: Palgrave Macmillan
Publication Year: 2011
Subject: Economics, Finance, Business
Item Height: 216 mm
Item Weight: 288 g
Type: Textbook
Author: R. Pascalau, G. Gregoriou
Item Width: 140 mm
Format: Paperback