Non-Linear Time Series Models in Empirical Finance |
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| Author:
| Franses, Philip Hans
van Dijk, Dick |
| ISBN: | 978-0-521-77041-5 |
| Publication Date: | Jul 2000 |
| Publisher: | Cambridge University Press
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| Book Format: | Hardback |
| List Price: | AUD $210.95 |
Book Description:
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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 non-linear models, including regime-switching and artificial neural networks, and applies them to describing and forecasting financial asset returns and volatility. Uses a wide range of financial data,...
More DescriptionThe 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 non-linear models, including regime-switching and artificial neural networks, and applies them to describing and forecasting financial asset returns and volatility. Uses a wide range of financial data, drawn from sources including the markets of Tokyo, London and Frankfurt.