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. The Yield Of Constant Maturity 10-year U.s. Treasury Notes: Stumbling Towards An Accurate Forecast / R. Weißach, W. Poniatowski And G. Zimmermann -- Estimating The Apt Factor Sensitivities Using Quantile Regression / Z. Adams, R. Füss, P. Grüber, U. Hommel And H. Wohlenberg -- Financial Risk Forecasting With Non-stationarity / H.k.k. Tung And M.c.s. Wong -- International Portfolio Choice: A Spanning Approach / B. Tims And R. Mahieu -- Quantification Of Risk And Return For Portfolio Optimization: A Comparison Of Forecasting Models / N.s. Thomaidis, E. Roumpis And V. Karavas -- Hedging Effectiveness In The Index Futures Market / L. Copeland And Y. Zhu -- A Bayesian Framework For Explaining The Rate Spread On Corporate Bonds / O. Chakroun And R. Ben-abdallah -- Garch, Outliers And Forecasting Volatility / P.h. Franses And D.van Dijk -- Is There A Relation Between Discrete Time Garch And Continuous Time Diffusion Models? / T. Bali -- The Recursive Fitting Of Multivariate Complex Subset Arma Models In Financial Econometrics / J. Penm And R.d. Terrell. Edited By Greg N. Gregoriou, Razvan Pascalau. Includes Bibliographical References And Index. Front Matter....Pages i-xxiii Front Matter....Pages 1-1 The Yield of Constant Maturity 10-Year US Treasury Notes....Pages 3-17 Estimating the Arbitrage Pricing Theory Factor Sensitivities Using Quantile Regression....Pages 18-27 Financial Risk Forecasting with Non-Stationarity....Pages 28-50 International Portfolio Choice....Pages 51-73 Quantification of Risk and Return for Portfolio Optimization....Pages 74-96 Hedging Effectiveness in the Index Futures Market....Pages 97-113 Front Matter....Pages 115-115 A Bayesian Framework for Explaining the Rate Spread on Corporate Bonds....Pages 117-135 GARCH, Outliers, and Forecasting Volatility....Pages 136-159 Is There a Relation between Discrete-Time GARCH and Continuous-Time Diffusion Models?....Pages 160-175 The Recursions of Subset VECM/State-Space Models and Their Applications to Nonlinear Relationships of Nickel Price Formation in Conditions of Climate Change....Pages 176-192 Back Matter....Pages 193-195 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.
