Nonlinear financial econometrics: forecasting models, computational and Bayesian models
Gespeichert in:
| Weitere Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Basingstoke [u.a.]
Palgrave Macmillan
2011
|
| Ausgabe: | 1. publ. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXIII, 195 S. graph. Darst. |
| ISBN: | 9780230283657 |
Internformat
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| 245 | 1 | 0 | |a Nonlinear financial econometrics |b forecasting models, computational and Bayesian models |c ed. by Greg N. Gregoriou ... |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Basingstoke [u.a.] |b Palgrave Macmillan |c 2011 | |
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Datensatz im Suchindex
| _version_ | 1804143820872351744 |
|---|---|
| adam_text | Contents
List
of Tables
vii
List of Figures x
Acknowledgments
xi
About the Editors
xii
Notes on Contributors
xiii
Chapter Abstracts
xix
Part I Forecasting Models
1
The Yield of Constant Maturity 10-Year US Treasury Notes:
Stumbling Toward an Accurate Forecast
3
Rafael
Weißbach,
Władysław Poniatowski,
and
Guido
Zimmermann
2
Estimating the Arbitrage Pricing Theory Factor Sensitivities
Using Quantile Regression
18
Zeno
Adams, Roland Fuss,
Philipp
Grüber,
Ulrich
Hommel, and
Holger Wohlenberg
3
Financial
Risk Forecasting with Non-Stationarity
28
Humphrey
K. K.
Tung and Michael
C. S.
Wong
4
International Portfolio Choice: A Spanning Approach
51
Ben 71ms and Ronald Mahieu
5
Quantification of Risk and Return for Portfolio
Optimization: A Comparison of Forecasting Models
74
Nikos S. Thomaidis,
Efíhimios
I. Roumpis, and
Vassilios
N.
Karavas
6
Hedging Effectiveness in the Index Futures Market
97
Laurence Copeland and Yanhui Zhu
vi
Contents
Part II Computational and Bayesian Methods
7
A Bayesian Framework for Explaining the Rate Spread on
Corporate Bonds
117
Oussama Chakroun and Ramzi
Ben-Abdallah
8
GARCH, Outliers, and Forecasting Volatility
136
Philip Hans
Frånses
and Dick van
Dijk
9
Is There a Relation between Discrete-Time GARCH and
Continuous-Time Diffusion Models?
160
Turan G.
Bali
10
The Recursions of Subset VECM/State-Space Models and
Their Applications to Nonlinear Relationships of Nickel
Price Formation in Conditions of Climate Change
176
Jack Penm and R. D. Terrell
Index
193
|
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| indexdate | 2024-07-09T22:53:44Z |
| institution | BVB |
| isbn | 9780230283657 |
| language | English |
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| spelling | Nonlinear financial econometrics forecasting models, computational and Bayesian models ed. by Greg N. Gregoriou ... 1. publ. Basingstoke [u.a.] Palgrave Macmillan 2011 XXIII, 195 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Finanzierung (DE-588)4017182-6 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Finanzierung (DE-588)4017182-6 s Ökonometrie (DE-588)4132280-0 s DE-604 Kreditmarkt (DE-588)4073788-3 s b DE-604 Gregoriou, Greg N. 1956- (DE-588)132185016 edt Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021133878&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Nonlinear financial econometrics forecasting models, computational and Bayesian models Finanzierung (DE-588)4017182-6 gnd Kreditmarkt (DE-588)4073788-3 gnd Ökonometrie (DE-588)4132280-0 gnd |
| subject_GND | (DE-588)4017182-6 (DE-588)4073788-3 (DE-588)4132280-0 (DE-588)4143413-4 |
| title | Nonlinear financial econometrics forecasting models, computational and Bayesian models |
| title_auth | Nonlinear financial econometrics forecasting models, computational and Bayesian models |
| title_exact_search | Nonlinear financial econometrics forecasting models, computational and Bayesian models |
| title_full | Nonlinear financial econometrics forecasting models, computational and Bayesian models ed. by Greg N. Gregoriou ... |
| title_fullStr | Nonlinear financial econometrics forecasting models, computational and Bayesian models ed. by Greg N. Gregoriou ... |
| title_full_unstemmed | Nonlinear financial econometrics forecasting models, computational and Bayesian models ed. by Greg N. Gregoriou ... |
| title_short | Nonlinear financial econometrics |
| title_sort | nonlinear financial econometrics forecasting models computational and bayesian models |
| title_sub | forecasting models, computational and Bayesian models |
| topic | Finanzierung (DE-588)4017182-6 gnd Kreditmarkt (DE-588)4073788-3 gnd Ökonometrie (DE-588)4132280-0 gnd |
| topic_facet | Finanzierung Kreditmarkt Ökonometrie Aufsatzsammlung |
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