Financial Modelling
Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models

Authors: Edited by Greg N. Gregoriou and Razvan Pascalau
Editions: Palgrave Macmillan
Pages: 195 pages
Date: December 2010
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.

About the Editors:

Greg N. Gregoriou is Professor of Finance at State University of New York at Plattsburgh, USA. He is also Research Associate at EDHEC-Risk Institute, Nice, France. He has published 50 books, more than 55 refereed publications and 22 book chapters. His research interests focus on Hedge Funds, Funds of Hedge Funds and Managed Futures.

Razvan Pascalau is Assistant Professor of Economics at State University of New York at Plattsburgh, USA. His fields of interest are Applied Time Series Econometrics, Financial Risk Management, International Finance, and Managerial Finance/Economics.

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