Non-Linear Time Series Models in Empirical Finance (repost)
Philip Hans Franses, Dick van Dijk, "Non-Linear Time Series Models in Empirical Finance"
English | 2000 | ISBN: 0521779650 | 298 pages | PDF | 3,4 MB
English | 2000 | ISBN: 0521779650 | 298 pages | PDF | 3,4 MB
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.