Sommaire : Contributors : Rafael Weißbach, Wladyslaw Poniatowski, Guido Zimmermann, Zeno Adams, Roland Füss, Philipp Grüber, Ulrich Hommel, Holger Wohlenberg, Humphrey K.K.Tung, M.C.S.Wong, Ben Tims, Ronald Mahieu, Nikos S.Thomaidis, Efthimios I. Roumpis, Vassilios N. Karavas, Laurence Copeland, Yanhui Zhu, Oussama Chakroun, Ramzi Ben-Abdallah, Philip Hans Franses, Dick van Dijk, Turan G.Bali, Jack Penm, R.D.Terrell, Michael C.S. Wong



PART I: Forecasting models

1.The Yield of Constant Maturity 10-Year U.S. Treasury Notes: Stumbling Towards an Accurate Forecast
2.Estimating the APT Factor Sensitivities Using Quantile Regression
3.Financial Risk Forecasting with Non-Stationarity
4.International Portfolio Choice: A Spanning Approach
5.Quantification of Risk and Return for Portfolio Optimization: A Comparison of Forecasting Models
6.Hedging Effectiveness in The Index Futures Market

PART II: Computational and bayesian methods

7.A Bayesian Framework for Explaining the Rate Spread on Corporate Bonds
8.GARCH, Outliers and Forecasting Volatility
9.Is There a Relation between Discrete Time GARCH and Continuous Time Diffusion Models?
10.The Recursions of Subset VECM/State-space models and their application to nonlinear relationships of nickel price formation in conditions of climate change

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Professeur EDHEC : Oui

Propriétaire : Bibliothèque