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Palgrave Macmillan

Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models

ISBN 9780230283657
Publication Date February 2011
Formats Hardcover Ebook (EPUB) Ebook (PDF) 
Publisher Palgrave Macmillan

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.

GREG N. GREGORIOU is Professor of Finance at State University of New York at Plattsburgh, USA. He is also Research Associate at EDHEC Business School, Nice, France. He has published 50 books, over 55 refereed publications and 22 book chapters. His research interests focus on Hedge Funds, Funds of Hedge Funds and Managed Futures.

RAZVAN PASCALAU is Assistant Professor of Economics at State University of New York at Plattsburgh, USA. His fields of interest are Applied Time Series Econometrics, Financial Risk Management, International Finance, and Managerial Finance/Economics.

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
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

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, Canada
MICHAEL 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 Netherlands
A. STAN HURN Professor in the School of Economics and Finance, the Queensland University of Technology, Australia
JOSEPH JEISMAN Quantitative Analyst at the Institutional Banking and Markets division, developing models of fixed interest securities with particular emphasis on the LIBOR market
VASSILIS N. KARAVAS Managing Director at Credit Agricole Asset Management Alternative Investments
KENNETH LINDSAY Professor of Applied Mathematics at the Department of Mathematics of the University of Glasgow, UK
MARCELO CUNHA MEDEIROS Associate Professor in the Department of Economics, Catholic University of Rio de Janeiro, Brazil
JACK PENM Academic Level D at the Australian National University
EFTHIMIOS ROUMPIS PhD candidate in Finance at the Department of Shipping, Trade and Transport, in School of Business, University of the Aegean, Greece
NIKOS 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 Netherlands
RAFAEL WEIßBACH Chair for Econometrics at the Faculty of Economics, University of Mannheim, Germany
MICHAEL C. S. WONG Associate Professor of Finance of City University of Hong Kong
GUIDO ZIMMERMANN Senior Credit Analyst in the Landesbank Baden-Wurttemberg (LBBW), Stuttgart, Germany


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