Kniha Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models G. Gregoriou

Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models

Jazyk: Angličtina
Vazba: Pevná
Vydavatel: PALGRAVE MACMILLAN
Dostupnost: Skladem u dodavatele v malém množství
Odesíláme za 11-15 dnů
1 310
This book assesses several competing forecasting models for interest rates, financial returns, and r...

Informace o knize

Jazyk
Angličtina
Vazba
Kniha - Pevná
Vydáno
2010
Stránek
195
EAN
9780230283657
ISBN
0230283659
Enbook ID
04553467
Vydavatel
Hmotnost
410
Rozměry
143 x 223 x 17

Kompletní popis

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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