Non-Linear Time Series Models in Empirical Finance

Idioma: inglés

Editorial: Cambridge University Press, 2000

0521779650 / 9780521779654

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Descripción del artículo del vendedor

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 ref. del artículo 00103672127

Título
Non-Linear Time Series Models in Empirical Finance
Autor
Philip Hans Franses
Editorial
Cambridge University Press
Año de publicación
2000
Estado
Good
Encuadernación
Paperback
Idioma
inglés
ISBN 10
0521779650
ISBN 13
9780521779654

World of Books (was SecondSale)

Montgomery, IL, Estados Unidos de America

Vendedor de 5 estrellas

Vendedor de IberLibro desde 20 de diciembre de 2007

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ArtículoDe 4 a 12 días hábilesDe 3 a 6 días hábiles
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