Nonlinear Time Series Models in Empirical Finance
Philip Hans Franses, Dick van Dijk
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.
Категорії:
Рік:
2000
Видання:
1
Видавництво:
Cambridge University Press
Мова:
english
Сторінки:
297
ISBN 10:
0521779650
ISBN 13:
9780521779654
Файл:
PDF, 2.53 MB
IPFS:
,
english, 2000