Non-Linear Time Series Models in Empirical Finance (Paperback)

Philip Hans Franses

ISBN 10: 0521779650 / ISBN 13: 9780521779654

Published by Cambridge University Press, Cambridge, 2000

About this Item

Paperback. 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. Reviews recently developed non-linear time series models, and their applications to financial markets. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.

Seller Inventory # 9780521779654

Bibliographic Details

• Title: Non-Linear Time Series Models in Empirical Finance (Paperback)
• Publisher: Cambridge University Press, Cambridge
• Publication Date: 2000
• Language: English
• ISBN 10: 0521779650
• ISBN 13: 9780521779654
• Binding: Paperback
• Edition: 1st Edition
• Condition: new

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.