Non-Linear Time Series Models in Empirical Finance |
|
| Author:
| Franses, Philip Hans
Dijk, Dick van |
| ISBN: | 978-0-511-75406-7 |
| Publication Date: | May 2010 |
| Publisher: | Cambridge University Press
|
| Book Format: | Digital (delivered electronically) |
| List Price: | USD $520.00 |
Book Description:
|
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.