Titlebook: Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models; Greg N. Gregoriou (Professor of Finance, Research

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书目名称Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models影响因子(影响力)




书目名称Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models影响因子(影响力)学科排名




书目名称Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models网络公开度




书目名称Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models网络公开度学科排名




书目名称Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models被引频次




书目名称Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models被引频次学科排名




书目名称Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models年度引用




书目名称Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models年度引用学科排名




书目名称Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models读者反馈




书目名称Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models读者反馈学科排名

1FAWN

Hedging Effectiveness in the Index Futures Market that in most cases the basis will not be continually zero, one can create a hedge in the same proportion (“the hedge ratio”) as the slope coefficient in the regression of the cash on the futures price.

Ablation

Is There a Relation between Discrete-Time GARCH and Continuous-Time Diffusion Models?pirical regularities of stock prices. First, equity returns are fat-tailed and this leptokurtosis cannot be eliminated by the time-varying variances of GARCH processes because even allowing for changing variances, there remain too many very large events.

circumvent

The Recursions of Subset VECM/State-Space Models and Their Applications to Nonlinear Relationships oisks of major interruptions to business and economic activity, later in this century and into the next, on a scale similar to those associated with the Second World War and the economic depression of the twentieth century.

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唤醒

anatomical

The Yield of Constant Maturity 10-Year US Treasury Notese interest in an accurate forecast of the constant maturity yields of 10-year US Treasury notes (T-note yields) is immense.. Hence, it does not surprise that a large body of literature is devoted to forecasting T-note yields.. The existing empirical literature approaches the problem of bond yield de

阶层

Estimating the Arbitrage Pricing Theory Factor Sensitivities Using Quantile Regressione portfolios. The idiosyncratic risks that affect asset returns on an individual level cancel out so that only systematic risks affecting all assets in the economy have to be considered. The capital asset pricing model (CAPM) (Sharpe 1964; Lintner 1965; Black 1972) laid the cornerstone for the theor

项目

Financial Risk Forecasting with Non-Stationarityk et al. 1996). Under this framework, it is assumed that asset price changes may not be solely due to new information, as simply described by the random walk model, but are also governed by some underlying dynamics. Such nonlinearities can only be described in higher dimensions, for which the observ

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