Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models

1. Front Matter

   Pages i-xxiii

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2. Forecasting Models

   1. Front Matter

      Pages 1-1

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   2. The Yield of Constant Maturity 10-Year US Treasury Notes

      • Rafael Weiβbach, Wladyslaw Poniatowski, Guido Zimmermann

      Pages 3-17

   3. Estimating the Arbitrage Pricing Theory Factor Sensitivities Using Quantile Regression

      • Zeno Adams, Roland Füss, Philipp Grüber, Ulrich Hommel, Holger Wohlenberg

      Pages 18-27

   4. Financial Risk Forecasting with Non-Stationarity

      • Humphrey K. K. Tung, Michael C. S. Wong

      Pages 28-50

   5. International Portfolio Choice

      • Ben Tims, Ronald Mahieu

      Pages 51-73

   6. Quantification of Risk and Return for Portfolio Optimization

      • Nikos S. Thomaidis, Efthimios I. Roumpis, Vassilios N. Karavas

      Pages 74-96

   7. Hedging Effectiveness in the Index Futures Market

      • Laurence Copeland, Yanhui Zhu

      Pages 97-113

3. Computational and Bayesian Methods

   1. Front Matter

      Pages 115-115

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   2. A Bayesian Framework for Explaining the Rate Spread on Corporate Bonds

      • Oussama Chakroun, Ramzi Ben-Abdallah

      Pages 117-135

   3. GARCH, Outliers, and Forecasting Volatility

      • Philip Hans Franses, Dick van Dijk

      Pages 136-159

   4. Is There a Relation between Discrete-Time GARCH and Continuous-Time Diffusion Models?

      • Turan G. Bali

      Pages 160-175

   5. The Recursions of Subset VECM/State-Space Models and Their Applications to Nonlinear Relationships of Nickel Price Formation in Conditions of Climate Change

      • Jack Penm, R. D. Terrell

      Pages 176-192

4. Back Matter

   Pages 193-195

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This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinear models for hedging purposes, and proposes new computational techniques to estimate financial processes.

• BAYES
• econometrics
• forecasting
• futures
• GARCH
• hedging
• optimization
• regression
• volatility

• State University of New York, Plattsburgh, USA

  Greg N. Gregoriou, Razvan Pascalau

• EDHEC Business School, Nice, France

  Greg N. Gregoriou

TURAN GOKCEN BALI David Krell Chair Professor of Finance at Baruch College and the Graduate School and University Center of the City University of New York, USA. RAMZI BEN-ABDALLAH Assistant Professor at the Department of Finance at the School of Management, University of Quebec at Montréal, Canada. OUSSAMA CHAKROUN Lecturer at the Finance department of HEC Montréal, Canada LAURENCE COPELAND MICHAEL MCALEER Distinguished Professor in the Department of Quantitative Economics, Complutense University of Madrid, Spain. PHILIP HANS FRANSES Professor of Econometrics and Professor of Marketing Research, both at the Erasmus School of Economics, the Netherlands A. STAN HURN Professor in the School of Economics and Finance, the Queensland University of Technology, Australia JOSEPH JEISMAN Quantitative Analyst at the Institutional Banking and Markets division, developing models of fixed interest securities with particular emphasis on the LIBOR market VASSILIS N. KARAVAS Managing Director at Credit Agricole Asset Management Alternative Investments KENNETH LINDSAY Professor of Applied Mathematics at the Department of Mathematics of the University of Glasgow, UK MARCELO CUNHA MEDEIROS Associate Professor in the Department of Economics, Catholic University of Rio de Janeiro, Brazil JACK PENM Academic Level D at the Australian National University EFTHIMIOS ROUMPIS PhD candidate in Finance at the Department of Shipping, Trade and Transport, in School of Business, University ofthe Aegean, Greece NIKOS S. THOMAIDIS Lecturer of Financial Engineering at University of the Aegean, Greece. HUMPHREY K. K. TUNG Visiting Assistant Professor of Finance of City University of Hong Kong. DICK VAN DIJK Professor in Financial Econometrics at the Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, the Netherlands RAFAEL WEIßBACH Chair for Econometrics at the Faculty of Economics, University of Mannheim, Germany MICHAEL C. S. WONG Associate Professor of Finance of City University of Hong Kong YANHUI ZHU GUIDO ZIMMERMANN Senior Credit Analyst in the Landesbank Baden-Wurttemberg (LBBW), Stuttgart, Germany

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