Non-Linear Time Series Models in Empirical Finance

Name: Non-Linear Time Series Models in Empirical Finance
Brand: Cambridge University Press
SKU: 9780521779654
Price: 27024 HUF
Availability: InStock

Szerző: Philip Hans FransesDick van Dijk

Nyelv:

Kötés: Puha kötésű

Kiadó: Cambridge University Press

Elérhetőség: Beszállítói készleten

Küldés 10-18 napon belül

27 024 Ft

Although many of the models commonly used in empirical finance are linear, the nature of financial d...

Információk a könyvről

Szerző

Philip Hans FransesDick van Dijk

Nyelv

Angol

Kötés

Könyv - Puha kötésű

Kiadva

2000

oldal

298

EAN

9780521779654

ISBN

0521779650

Enbook ID

02042904

Kiadó

Cambridge University Press

Súly

Méretek

176 x 246 x 19

Teljes leírás

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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Non-Linear Time Series Models in Empirical Finance

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