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Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models
Editor
- Greg N. Gregoriou(State University of New York
EDHEC Business School)Razvan Pascalau(State University of New York)
Abstract
Individual chapters are listed in the "Chapters" tab
Suggested Citation
DOI: 10.1057/9780230295223
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Book Chapters
The following chapters of this book are listed in IDEAS- Rafael Weiβbach & Wladyslaw Poniatowski & Guido Zimmermann, 2011. "The Yield of Constant Maturity 10-Year US Treasury Notes," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models, chapter 1, pages 3-17, Palgrave Macmillan.
- Zeno Adams & Roland Füss & Philipp Grüber & Ulrich Hommel & Holger Wohlenberg, 2011. "Estimating the Arbitrage Pricing Theory Factor Sensitivities Using Quantile Regression," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models, chapter 2, pages 18-27, Palgrave Macmillan.
- Humphrey K. K. Tung & Michael C. S. Wong, 2011. "Financial Risk Forecasting with Non-Stationarity," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models, chapter 3, pages 28-50, Palgrave Macmillan.
- Ben Tims & Ronald Mahieu, 2011. "International Portfolio Choice," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models, chapter 4, pages 51-73, Palgrave Macmillan.
- Nikos S. Thomaidis & Efthimios I. Roumpis & Vassilios N. Karavas, 2011. "Quantification of Risk and Return for Portfolio Optimization," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models, chapter 5, pages 74-96, Palgrave Macmillan.
- Laurence Copeland & Yanhui Zhu, 2011. "Hedging Effectiveness in the Index Futures Market," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models, chapter 6, pages 97-113, Palgrave Macmillan.
- Oussama Chakroun & Ramzi Ben-Abdallah, 2011. "A Bayesian Framework for Explaining the Rate Spread on Corporate Bonds," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models, chapter 7, pages 117-135, Palgrave Macmillan.
- Philip Hans Franses & Dick Dijk, 2011. "GARCH, Outliers, and Forecasting Volatility," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models, chapter 8, pages 136-159, Palgrave Macmillan.
- Turan G. Bali, 2011. "Is There a Relation between Discrete-Time GARCH and Continuous-Time Diffusion Models?," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models, chapter 9, pages 160-175, Palgrave Macmillan.
- Jack Penm & R. D. Terrell, 2011. "The Recursions of Subset VECM/State-Space Models and Their Applications to Nonlinear Relationships of Nickel Price Formation in Conditions of Climate Change," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models, chapter 10, pages 176-192, Palgrave Macmillan.
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