Nonlinear time series models in empirical finance /

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Bibliographic Details
Author / Creator:Franses, Philip Hans, 1963-
Imprint:Cambridge ; New York : Cambridge University Press, 2000.
Description:1 online resource (xvi, 280 pages) : illustrations
Language:English
Subject:Finance -- Mathematical models.
Time-series analysis.
BUSINESS & ECONOMICS -- Finance.
Finance -- Mathematical models.
Time-series analysis.
Finanzierungstheorie
Tijdreeksen.
Niet-lineaire modellen.
Bedrijfsfinanciering.
Finances -- Modèles mathématiques.
Séries chronologiques.
Économétrie.
Electronic books.
Electronic books.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11117187
Hidden Bibliographic Details
Other authors / contributors:Dijk, Dick van.
ISBN:0511011008
9780511011009
0511118279
9780511118272
9780511754067
051175406X
9780511049323
0511049323
9786610154630
6610154635
0521779650
9780521779654
1107118980
9781107118980
1280154632
9781280154638
0511323336
9780511323331
0511152175
9780511152177
0521779650
9780521779654
9780521770415
0521770416
Digital file characteristics:data file
Notes:Includes bibliographical references (pages 254-271) and indexes.
English.
Print version record.
Summary:The most up-to-date and accessible guide to one of the fastest growing areas in financial analysis by one of Europes's leading teaching and researching teams. This classroom-tested advanced undergraduate and graduate textbook provides an in-depth treatment of non-linear models, including regime-switching and artificial neural networks.
Other form:Print version: Franses, Philip Hans, 1963- Nonlinear time series models in empirical finance. Cambridge ; New York : Cambridge University Press, 2000 0521770416
Standard no.:9780521779654
Description
Summary: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.
Physical Description:1 online resource (xvi, 280 pages) : illustrations
Bibliography:Includes bibliographical references (pages 254-271) and indexes.
ISBN:0511011008
9780511011009
0511118279
9780511118272
9780511754067
051175406X
9780511049323
0511049323
9786610154630
6610154635
0521779650
9780521779654
1107118980
9781107118980
1280154632
9781280154638
0511323336
9780511323331
0511152175
9780511152177
9780521770415
0521770416