Nonlinear financial econometrics : Forecasting models, computational and Bayesian models / edited by Greg N. Gregoriou, Razvan Pascalau.

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 additi...

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