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Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models
Language
English
English
Book
Hardback
This book assesses several competing forecasting models for interest rates, financial returns, and r...
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Libristo code: 04553467
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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.
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About the book
Full name
Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models
Author
G. Gregoriou, R. Pascalau
Language
English
English
Binding
Book - Hardback
Date of issue
2010
Number of pages
195
EAN
9780230283657
ISBN
0230283659
Libristo code
04553467
Publishers
PALGRAVE MACMILLAN
Weight
410
Dimensions
143 x 223 x 17
Categories
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