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portada Non-Linear Time Series Models in Empirical Finance
Type
Physical Book
Publisher
Author
Year
2000
Language
English
Pages
298
Format
Hardcover
ISBN
0521770416
ISBN13
9780521770415
Edition No.
1
Categories

Non-Linear Time Series Models in Empirical Finance

Philip Hans Franses; Dick Van Dijk (Author) · Cambridge University Press · Hardcover

Non-Linear Time Series Models in Empirical Finance - Philip Hans Franses; Dick Van Dijk

New Book Imported to South Africa
Delivery: 22 Sep - 30 Sep Shipping: 5 to 6 business days.
R 2,893
R 2,893

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Synopsis "Non-Linear Time Series Models in Empirical Finance "

Although many of the models commonly used in empirical finance are linear, the nature of financial data suggests that non-linear models are more appropriate for forecasting and accurately describing returns and volatility. The enormous number of non-linear time series models appropriate for modeling and forecasting economic time series models makes choosing the best model for a particular application daunting. This classroom-tested advanced undergraduate and graduate textbook, first published in 2000, provides a rigorous treatment of recently developed non-linear models, including regime-switching and artificial neural networks. The focus is on the potential applicability for describing and forecasting financial asset returns and their associated volatility. The models are analysed in detail and are not treated as 'black boxes'. Illustrated using a wide range of financial data, drawn from sources including the financial markets of Tokyo, London and Frankfurt.

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