| Non-Linear Time Series Models in Empirical Finance Contributor(s): Franses, Philip Hans (Author), Van Dijk, Dick (Author), Dijk, Dick Van (Author) |
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ISBN: 0521770416 ISBN-13: 9780521770415 Publisher: Cambridge University Press OUR PRICE: $174.80 Product Type: Hardcover - Other Formats Published: September 2000 |
| Additional Information |
| BISAC Categories: - Business & Economics | Finance - General - Business & Economics | Economics - General - Business & Economics | Econometrics |
| Dewey: 332.015 |
| LCCN: 99088504 |
| Physical Information: 0.69" H x 7" W x 10" (1.62 lbs) 298 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |