| Title:
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NONLINEAR FINANCIAL ECONOMETRICS: FORECASTING MODELS, COMPUTATIONAL AND BAYESIAN MODELS
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| By: |
Greg N. Gregoriou (Editor), Razvan Pascalau (Editor) |
| Format: |
Electronic book text |
| List price:
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£76.38 |
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We believe that this item is permanently unavailable, and so we cannot source
it.
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| ISBN 10: |
0230295223 |
| ISBN 13: |
9780230295223 |
| Publisher: |
PALGRAVE MACMILLAN |
| Pub. date: |
17 December, 2010 |
| 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. |
| Synopsis: |
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. |
| Illustrations: |
70 |
| Publication: |
UK |
| Imprint: |
Palgrave Macmillan |
| Returns: |
Non-returnable |