Advances in Quantitative Asset Management / Edition 1

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Advances in Quantitative Asset Management contains selected articles w hich, for the most part, were presented at the 'Forecasting Financial Markets' Conference. 'Forecasting Financial Markets' is an internation al conference on quantitative finance which is held in London in May e very year. Since its inception in 1994, the conference has grown in sc ope and stature to become a key international meeting point for those interested in quantitative finance, with the participation of prestigi ous academic and research institutions from all over the world, includ ing major central banks and quantitative fund managers.

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Product Details

  • ISBN-13: 9780792377788
  • Publisher: Springer US
  • Publication date: 4/30/2000
  • Series: Studies in Computational Finance Series, #1
  • Edition description: 2000
  • Edition number: 1
  • Pages: 342
  • Product dimensions: 9.21 (w) x 6.14 (h) x 0.81 (d)

Table of Contents

Pt. 1 Advances in Asset Allocation and Portfolio Management
1 Introducing Higher Moments in the CAPM: Some Basic Ideas 3
2 Fat Tails and the Capital Asset Pricing Model 17
3 The Efficiency of Fund Management: An Applied Stochastic Frontier Model 41
4 Investment Styles in the European Equity Markets 61
5 Advanced Adaptive Architectures for Asset Allocation 89
6 High Frequency Data and Optimal Hedge Ratios 113
Pt. 2 Modelling Risk, Return and Correlation
7 Large Scale Conditional Correlation Estimation 139
8 The Pitfalls in Fitting GARCH(1,1) Processes 179
9 Factor GARCH, Regime-Switching and the Term Structure of Interest Rates 201
10 Hedging a Portfolio of Corporate Bonds Using PCA/GARCH Yield Curve Analysis 235
11 Analysis of Time Varying Exchange Rate Risk Premia 255
12 Volatility Modelling in the Forex Market: An Empirical Evaluation 275
13 Five Classification Algorithms to Predict High Performance Stocks 295
14 Forecasting Financial Time Series with Generalized Long Memory Processes 319
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