Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models

Edited by Greg N. Gregoriou and Razvan Pascalau

in Palgrave Macmillan Books from Palgrave Macmillan

Date: 2011
ISBN: 978-0-230-29522-3
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Chapters in this book:

Ch 1 The Yield of Constant Maturity 10-Year US Treasury Notes

Rafael Weiβbach, Wladyslaw Poniatowski and Guido Zimmermann

Ch 2 Estimating the Arbitrage Pricing Theory Factor Sensitivities Using Quantile Regression

Zeno Adams, Roland Füss, Philipp Grüber, Ulrich Hommel and Holger Wohlenberg

Ch 3 Financial Risk Forecasting with Non-Stationarity

Humphrey K. K. Tung and Michael C. S. Wong

Ch 4 International Portfolio Choice

Ben Tims and Ronald Mahieu

Ch 5 Quantification of Risk and Return for Portfolio Optimization

Nikos S. Thomaidis, Efthimios I. Roumpis and Vassilios N. Karavas

Ch 6 Hedging Effectiveness in the Index Futures Market

Laurence Copeland and Yanhui Zhu

Ch 7 A Bayesian Framework for Explaining the Rate Spread on Corporate Bonds

Oussama Chakroun and Ramzi Ben-Abdallah

Ch 8 GARCH, Outliers, and Forecasting Volatility

Philip Hans Franses and Dick Dijk

Ch 9 Is There a Relation between Discrete-Time GARCH and Continuous-Time Diffusion Models?

Turan G. Bali

Ch 10 The Recursions of Subset VECM/State-Space Models and Their Applications to Nonlinear Relationships of Nickel Price Formation in Conditions of Climate Change

Jack Penm and R. D. Terrell

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Persistent link: https://EconPapers.repec.org/RePEc:pal:palbok:978-0-230-29522-3

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DOI: 10.1057/9780230295223

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