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Více informací o knize Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models

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Anotace knihy

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.

Parametry knihy

Zařazení knihy Knihy v angličtině Economics, finance, business & management Economics Econometrics

• Plný název: Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models
• Autor: G. Gregoriou, R. Pascalau
• Jazyk: Angličtina
• Vazba: Pevná
• Počet stran: 195
• EAN: 9780230283657
• ISBN: 0230283659
• ID: 04553467
• Nakladatelství: PALGRAVE MACMILLAN
• Hmotnost: 410 g
• Rozměry: 223 × 143 × 17 mm
• Datum vydání: 21. December 2010

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