Nonlinear time series models in empirical finance

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Nonlinear time series models in...

Nonlinear time series models in empirical finance

Name: Nonlinear time series models in empirical finance
ISBN: 9780521779654

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.

种类:

Mathematics

年:

2000

出版:

出版社:

Cambridge University Press

语言:

english

页:

297

ISBN 10: