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Nonlinear financial econometrics : forecasting models, computational and Bayesian models

Nonlinear financial econometrics : forecasting models, computational and Bayesian models

Material type
단행본
Personal Author
Gregoriou, Greg N., 1956-. Pascalau, Razvan.
Title Statement
Nonlinear financial econometrics : forecasting models, computational and Bayesian models / edited by Greg N. Gregoriou, Razvan Pascalau.
Publication, Distribution, etc
Basingstoke :   Palgrave Macmillan,   2011.  
Physical Medium
xxiii, 195 p. : ill. ; 22 cm.
ISBN
9780230283657 (hbk.) 0230283659 (hbk.)
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Interest rates -- Forecasting -- Econometric models.
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001 000045645480
005 20110428170247
008 110428s2011 enka b 001 0 eng d
015 ▼a GBB094980 ▼2 bnb
020 ▼a 9780230283657 (hbk.)
020 ▼a 0230283659 (hbk.)
040 ▼a StDuBDS ▼b eng ▼c StDuBDS ▼d Uk ▼d 211009
082 0 4 ▼a 332.6323015118 ▼2 22
084 ▼a 332.6323 ▼2 DDCK
090 ▼a 332.6323 ▼b N813
245 0 0 ▼a Nonlinear financial econometrics : ▼b forecasting models, computational and Bayesian models / ▼c edited by Greg N. Gregoriou, Razvan Pascalau.
260 ▼a Basingstoke : ▼b Palgrave Macmillan, ▼c 2011.
300 ▼a xxiii, 195 p. : ▼b ill. ; ▼c 22 cm.
504 ▼a Includes bibliographical references and index.
650 0 ▼a Interest rates ▼x Forecasting ▼x Econometric models.
700 1 ▼a Gregoriou, Greg N., ▼d 1956-.
700 1 ▼a Pascalau, Razvan.
945 ▼a KLPA

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.6323 N813 Accession No. 121209418 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

PART I: FORECASTING MODELS The Yield of Constant Maturity 10-Year U.S. Treasury Notes: Stumbling Towards an Accurate Forecast; R.Weißbach, W.Poniatowski & G.Zimmermann Estimating the APT Factor Sensitivities Using Quantile Regression; Z.Adams, R.Fuss, P.Gruber, U.Hommel & H.Wohlenberg Financial Risk Forecasting with Non-Stationarity; H.K.K.Tung & M.C.S.Wong International Portfolio Choice: A Spanning Approach; B.Tims & R.Mahieu Quantification of Risk and Return for Portfolio Optimization: A Comparison of Forecasting Models; N.S.Thomaidis, E.Roumpis & V.Karavas Hedging Effectiveness in The Index Futures Market; L.Copeland& Y.Zhu PART II: COMPUTATIONAL AND BAYESIAN METHODS A Bayesian Framework for Explaining the Rate Spread on Corporate Bonds; O.Chakroun & R.Ben-Abdallah GARCH, Outliers and Forecasting Volatility; P.H.Franses & D.van Dijk Is There a Relation between Discrete Time GARCH and Continuous Time Diffusion Models?; T.Bali The Recursive Fitting of Multivariate Complex Subset ARMA Models in Financial Econometrics; J.Penm & R.D.Terrell


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