Non-linear time series models in empirical finance. Dick van Dijk, Philip Hans Franses

Non-linear time series models in empirical finance


Non.linear.time.series.models.in.empirical.finance.pdf
ISBN: 0521770416,9780521770415 | 297 pages | 15 Mb

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Non-linear time series models in empirical finance Dick van Dijk, Philip Hans Franses
Publisher: CUP


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.

Book Description

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 non-linear models, including regime-switching and artificial neural networks, and applies them to describing and forecasting financial asset returns and volatility. Uses a wide range of financial data, drawn from sources including the markets of Tokyo, London and Frankfurt.



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