國立高雄大學圖資館 |

Language: English

Back

Nonlinear financial econometricsForecasting models, computational and Bayesian models /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Nonlinear financial econometricsedited by Greg N. Gregoriou, Razvan Pascalau.
Reminder of title:	Forecasting models, computational and Bayesian models /
other author:	Gregoriou, Greg N.,
Published:	Basingstoke :Palgrave Macmillan,2010.
Description:	1 online resource.
Subject:	Interest ratesForecasting
Online resource:	An electronic book accessible through the World Wide Web; click for information
ISBN:	9780230295223 (electronic bk.)

Nonlinear financial econometricsForecasting models, computational and Bayesian models /
Nonlinear financial econometricsForecasting models, computational and Bayesian models /[electronic resource] :edited by Greg N. Gregoriou, Razvan Pascalau. - Basingstoke :Palgrave Macmillan,2010. - 1 online resource.

The Yield of Constant Maturity 10-Year U.S. Treasury Notes: Stumbling Towards an Accurate Forecast / R. Wei�ach, W. Poniatowski & G. Zimmermann -- Estimating the APT Factor Sensitivities Using Quantile Regression / Z. Adams, R. F�uss, P. Gr�uber, 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.

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.

ISBN: 9780230295223 (electronic bk.)

Standard No.: 9786612998775

Source: 484472Palgrave Macmillanhttp://www.palgraveconnect.comSubjects--Topical Terms:

639869
Interest rates
--ForecastingIndex Terms--Genre/Form:

214472
Electronic books.

LC Class. No.: HG1622 / .N66 2010

Dewey Class. No.: 332.6323015118

Nonlinear financial econometricsForecasting models, computational and Bayesian models /
LDR:03606cmm 2200457Ka 4500 001 402137
003 OCoLC
005 20130621114737.0
006 m o d
007 cr cn|||||||||
008 140117s2010 enkb o 000 0 eng d
019 $a 708738012 $a 746579274 $a 816642972 $a 821633774 $a 823850127 $a 823920078
020 $a 9780230295223 (electronic bk.)
020 $a 0230295223 (electronic bk.)
020 $a 9780230283657 (Cloth)
020 $a 0230283659 (Cloth)
020 $a 1282998773
020 $a 9781282998773
024 8 $a 9786612998775
029 1 $a AU@ $b 000046932626
029 1 $a AU@ $b 000048804880
035 $a (OCoLC)696333662 $z (OCoLC)708738012 $z (OCoLC)746579274 $z (OCoLC)816642972 $z (OCoLC)821633774 $z (OCoLC)823850127 $z (OCoLC)823920078
035 $a ocn696333662
037 $a 484472 $b Palgrave Macmillan $n http://www.palgraveconnect.com
040 $a UKPGM $b eng $c UKPGM $d EBLCP $d YDXCP $d OCLCQ $d CDX $d IDEBK $d OCLCQ
049 $a TEFA
050 4 $a HG1622 $b .N66 2010
072 7 $a KFF $2 bicssc
082 0 4 $a 332.6323015118 $2 22
245 0 0 $a Nonlinear financial econometrics $h [electronic resource] : $b Forecasting models, computational and Bayesian models / $c edited by Greg N. Gregoriou, Razvan Pascalau.
260 $a Basingstoke : $b Palgrave Macmillan, $c 2010.
300 $a 1 online resource.
505 0 $a The Yield of Constant Maturity 10-Year U.S. Treasury Notes: Stumbling Towards an Accurate Forecast / R. Wei�ach, W. Poniatowski & G. Zimmermann -- Estimating the APT Factor Sensitivities Using Quantile Regression / Z. Adams, R. F�uss, P. Gr�uber, 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.
520 $a 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.
588 $a Description based on print version record.
650 0 $a Interest rates $x Forecasting $x Econometric models. $3 639869
655 4 $a Electronic books. $2 local. $3 214472
700 1 $a Gregoriou, Greg N., $d 1956- $3 238940
700 1 $a Pascalau, Razvan. $3 639371
710 2 $a Palgrave Connect (Online service) $3 459825
776 0 8 $i Print version: $t Nonlinear financial econometrics. Forecasting models, computational and Bayesian models. $d Basingstoke : Palgrave Macmillan, 2010 $z 9780230283657 $w (OCoLC)655652370
856 4 0 $3 Palgrave Connect $u https://link.springer.com/book/10.1057/9780230295223 $z An electronic book accessible through the World Wide Web; click for information
938 $a EBL - Ebook Library $b EBLB $n EBL652417
938 $a YBP Library Services $b YANK $n 3615101
938 $a Coutts Information Services $b COUT $n 17389070 $c 65.00 GBP
938 $a Ingram Digital eBook Collection $b IDEB $n 299877
994 $a C0 $b TEF