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Philip Hans Franses, Dick Van Dijk

Non-Linear Time Series Models in Empirical Finance

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ISBN: 0521779650, 978-0-52177-965-4
Издательство: Cambridge University Press
Год издания: 2000
Страниц: 296
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.