Overview
- Editors:
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Greg N. Gregoriou
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State University of New York, Plattsburgh, USA
EDHEC Business School, Nice, France
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Razvan Pascalau
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State University of New York, Plattsburgh, USA
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Table of contents (10 chapters)
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Front Matter
Pages i-xxiii
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Forecasting Models
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- Rafael Weiβbach, Wladyslaw Poniatowski, Guido Zimmermann
Pages 3-17
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- Zeno Adams, Roland Füss, Philipp Grüber, Ulrich Hommel, Holger Wohlenberg
Pages 18-27
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- Humphrey K. K. Tung, Michael C. S. Wong
Pages 28-50
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- Nikos S. Thomaidis, Efthimios I. Roumpis, Vassilios N. Karavas
Pages 74-96
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- Laurence Copeland, Yanhui Zhu
Pages 97-113
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Computational and Bayesian Methods
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Front Matter
Pages 115-115
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- Oussama Chakroun, Ramzi Ben-Abdallah
Pages 117-135
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- Philip Hans Franses, Dick van Dijk
Pages 136-159
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Back Matter
Pages 193-195
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 editors
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 ofthe 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