Non-Linear Time Series Models in Empirical Finance

Langue : anglais

Edité par Cambridge University Press, 2000

0521779650 / 9780521779654

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A propos de cet article

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.

N° de réf. du vendeur CIN0521779650G

Titre
Non-Linear Time Series Models in Empirical Finance
Auteur
Philip Hans Franses
Éditeur
Cambridge University Press
Année de publication
2000
État de l'article
Good
Reliure
Paperback
Langue
anglais
ISBN à 10 chiffres
0521779650
ISBN à 13 chiffres
9780521779654

World of Books Inc

Montgomery, IL, Etats-Unis

Vendeur avec une évaluation de 4 étoiles

Vendeur AbeBooks depuis 23 mars 2026

Frais d'expédition à l'intérieur de ce pays : Etats-Unis

Article4 à 12 jours ouvrés3 à 6 jours ouvrés
Premier articleEUR 0,00EUR 9,81
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