Non-Linear Time Series Models in Empirical Finance
| Author/creator | Franses, Philip Hans, 1963- Author |
| Other author | van Dijk, Dick Author |
| Format | Electronic |
| Publication Info | New York : Cambridge University Press |
| Description | 296 p. ill 25.500 x 017.900 cm. |
| Supplemental Content | Full text available from Ebook Central - Academic Complete |
| Supplemental Content | Full text available from eBooks on EBSCOhost |
| Subjects |
| Summary | Annotation 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 - the most up to-date and accessible guide available - 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. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 99088504 |
| ISBN | 9780521770415 |
| ISBN | 0521770416 (Trade Cloth) Active Record |
| Standard identifier# | 9780521770415 |
| Stock number | 00004933 |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | ✔ Available |