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Non-Linear Time Series Models in Empirical Finance

Autor Philip Hans Franses, Dick van Dijk
en Limba Engleză Paperback – 26 iul 2000
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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Specificații

ISBN-13: 9780521779654
ISBN-10: 0521779650
Pagini: 298
Ilustrații: 51 tables
Dimensiuni: 176 x 247 x 26 mm
Greutate: 0.59 kg
Ediția:New.
Editura: Cambridge University Press
Colecția Cambridge University Press
Locul publicării:Cambridge, United Kingdom

Cuprins

1. Introduction; 2. Some concepts in time series analysis; 3. Regime-switching models for returns; 4. Regime-switching models for volatility; 5. Artificial neural networks for returns; 6. Conclusion.

Descriere

This 2000 volume reviews non-linear time series models, and their applications to financial markets.