This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinea

Modelling and Forecasting Financial Data brings together a coherent and accessible set of chapters on recent research results on this topic. To make such method

This 2000 volume reviews non-linear time series models, and their applications to financial markets.

This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions t

This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new fi