Non-linear time series models in empirical finance

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Science (General)
Non-linear time series models in...

Non-linear time series models in empirical finance

Name: Non-linear time series models in empirical finance
ISBN: 9780521770415

Philip Hans Franses, Dick van Dijk

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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.

ক্যাটাগোরিগুলো:

Science (General)

সাল:

2000

সংস্করণ:

প্রকাশক:

Cambridge University Press

ভাষা:

english

পৃষ্ঠা:

297

ISBN 10: