Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models

Editors: Gregoriou, G., Pascalau, R. (Eds.)

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About this book

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.

About the authors

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 LAURENCE COPELAND 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 YANHUI ZHU GUIDO ZIMMERMANN Senior Credit Analyst in the Landesbank Baden-Wurttemberg (LBBW), Stuttgart, Germany

Table of contents (10 chapters)

  • The Yield of Constant Maturity 10-Year US Treasury Notes

    Weiβbach, Rafael (et al.)

    Pages 3-17

  • Estimating the Arbitrage Pricing Theory Factor Sensitivities Using Quantile Regression

    Adams, Zeno (et al.)

    Pages 18-27

  • Financial Risk Forecasting with Non-Stationarity

    Tung, Humphrey K. K. (et al.)

    Pages 28-50

  • International Portfolio Choice

    Tims, Ben (et al.)

    Pages 51-73

  • Quantification of Risk and Return for Portfolio Optimization

    Thomaidis, Nikos S. (et al.)

    Pages 74-96

Buy this book

eBook $89.00
price for USA
  • ISBN 978-0-230-29522-3
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Download immediately after purchase
Hardcover $125.00
price for USA
  • ISBN 978-0-230-28365-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $120.00
price for USA
  • ISBN 978-1-349-32896-3
  • Free shipping for individuals worldwide
  • This title is currently reprinting. You can pre-order your copy now.

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Bibliographic Information

Bibliographic Information
Book Title
Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models
Editors
  • G. Gregoriou
  • R. Pascalau
Copyright
2011
Publisher
Palgrave Macmillan UK
Copyright Holder
Palgrave Macmillan, a division of Macmillan Publishers Limited
eBook ISBN
978-0-230-29522-3
DOI
10.1057/9780230295223
Hardcover ISBN
978-0-230-28365-7
Softcover ISBN
978-1-349-32896-3
Edition Number
1
Number of Pages
XXIII, 195
Topics