Non-Linear Time Series Models in Empirical Finance
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.
Quantity | Price | Discount |
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List Price | $173.00 |
Non-returnable discount pricing
$173.00
Book Information
Publisher: | Cambridge University Press |
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Publish Date: | 07/27/2000 |
Pages: | 298 |
ISBN-13: | 9780521770415 |
ISBN-10: | 0521770416 |
Language: | English |
Full Description
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.