Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models

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

PART I: FORECASTING MODELS The Yield of Constant Maturity 10-Year U.S. Treasury Notes: Stumbling Towards an Accurate Forecast; R.Weißbach, W.Poniatowski & G.Zimmermann Estimating the APT Factor Sensitivities Using Quantile Regression; Z.Adams, R.Füss, P.Grüber, U.Hommel &  H.Wohlenberg Financial Risk Forecasting with Non-Stationarity; H.K.K.Tung & M.C.S.Wong International Portfolio Choice: A Spanning Approach; B.Tims & R.Mahieu Quantification of Risk and Return for Portfolio Optimization: A Comparison of Forecasting Models; N.S.Thomaidis, E.Roumpis & V.Karavas Hedging Effectiveness in The Index Futures Market; L.Copeland& Y.Zhu PART II: COMPUTATIONAL AND BAYESIAN METHODS A Bayesian Framework for Explaining the Rate Spread on Corporate Bonds; O.Chakroun & R.Ben-Abdallah GARCH, Outliers and Forecasting Volatility; P.H.Franses & 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 & R.D.Terrell