Nonlinear Financial Econometrics: Markov
โ Greg N. Gregoriou, Razvan Pascalau
๐ Library
๐
2011
๐ Palgrave Macmillan
๐ English
โฆ LIBER โฆ
๐
Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models
โ Scribed by Greg N. Gregoriou, Razvan Pascalau (eds.)
- Publisher
- Palgrave Macmillan UK
- Year
- 2011
- Tongue
- English
- Leaves
- 216
- Category
- Library
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โฆ Table of Contents
Front Matter....Pages i-xxiii
Front Matter....Pages 1-1
The Yield of Constant Maturity 10-Year US Treasury Notes....Pages 3-17
Estimating the Arbitrage Pricing Theory Factor Sensitivities Using Quantile Regression....Pages 18-27
Financial Risk Forecasting with Non-Stationarity....Pages 28-50
International Portfolio Choice....Pages 51-73
Quantification of Risk and Return for Portfolio Optimization....Pages 74-96
Hedging Effectiveness in the Index Futures Market....Pages 97-113
Front Matter....Pages 115-115
A Bayesian Framework for Explaining the Rate Spread on Corporate Bonds....Pages 117-135
GARCH, Outliers, and Forecasting Volatility....Pages 136-159
Is There a Relation between Discrete-Time GARCH and Continuous-Time Diffusion Models?....Pages 160-175
The Recursions of Subset VECM/State-Space Models and Their Applications to Nonlinear Relationships of Nickel Price Formation in Conditions of Climate Change....Pages 176-192
Back Matter....Pages 193-195
โฆ Subjects
Business Mathematics; Econometrics; Business Finance; Economic Theory/Quantitative Economics/Mathematical Methods; Finance, general
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