Non-Linear Time Series Models in Empirical Finance

Franses, Philip Hans,Dijk, Dick van

ISBN 10: 0521779650 / ISBN 13: 9780521779654

Published by Cambridge University Press, 2000

About this Item

Light, general wear. Open Books is a nonprofit social venture that provides literacy experiences for thousands of readers each year through inspiring programs and creative capitalization of books. Seller Inventory # mon0000733187

Bibliographic Details

Title: Non-Linear Time Series Models in Empirical ...

Publisher: Cambridge University Press

Publication Date: 2000

Binding: paperback

Condition: Very Good

About this title

Synopsis:

This is the most up-to-date and accessible guide to one of the fastest growing areas in financial analysis by two of the most accomplished young econometricians in Europe. This classroom-tested advanced undergraduate and graduate textbook provides an in-depth treatment of recently developed nonlinear models, including regime-switching and artificial neural networks, and applies them to describing and forecasting financial asset returns and volatility. It uses a wide range of financial data, drawn from sources including the markets of Tokyo, London and Frankfurt.