Non-Linear Time Series Models in Empirical Finance

Non-Linear Time Series Models in Empirical Finance
Author: Philip Hans Franses
Language English
Pages: 298
ISBN10: 0521779650
Genre: Economics
Goodreads Rating: 3.00
ISBN13: 9780521779654
Published: May 19th 2011 by Cambridge University Press

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.