| 摘要註: |
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. |