Non-Linear Time Series Models in Empirical Finance

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.

Author: Philip Hans Franses,Dick Van Dijk
Publisher: Cambridge University Press
Published: 07/27/2000
Pages: 298
Binding Type: Hardcover
Weight: 1.62lbs
Size: 10.00h x 7.00w x 0.69d
ISBN: 9780521770415

This title is not returnable