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Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models

  • Book
  • © 2011

Overview

Editors:
  1. Greg N. Gregoriou

    1. State University of New York, Plattsburgh, USA
      EDHEC Business School, Nice, France

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  2. Razvan Pascalau

    1. State University of New York, Plattsburgh, USA

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    You can also search for this editor in PubMed   Google Scholar

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Table of contents (10 chapters)

  1. Front Matter

    Pages i-xxiii
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  2. Forecasting Models

    1. Front Matter

      Pages 1-1
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    2. The Yield of Constant Maturity 10-Year US Treasury Notes

      • Rafael Weiβbach, Wladyslaw Poniatowski, Guido Zimmermann
      Pages 3-17

    3. Estimating the Arbitrage Pricing Theory Factor Sensitivities Using Quantile Regression

      • Zeno Adams, Roland Füss, Philipp Grüber, Ulrich Hommel, Holger Wohlenberg
      Pages 18-27

    4. Financial Risk Forecasting with Non-Stationarity

      • Humphrey K. K. Tung, Michael C. S. Wong
      Pages 28-50

    5. International Portfolio Choice

      • Ben Tims, Ronald Mahieu
      Pages 51-73

    6. Quantification of Risk and Return for Portfolio Optimization

      • Nikos S. Thomaidis, Efthimios I. Roumpis, Vassilios N. Karavas
      Pages 74-96

    7. Hedging Effectiveness in the Index Futures Market

      • Laurence Copeland, Yanhui Zhu
      Pages 97-113

  4. Back Matter

    Pages 193-195
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Keywords

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.

Editors and Affiliations

  • State University of New York, Plattsburgh, USA

    Greg N. Gregoriou, Razvan Pascalau

  • EDHEC Business School, Nice, France

    Greg N. Gregoriou

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

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