Nonlinear time series models in empirical finance /
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Author / Creator: | Franses, Philip Hans, 1963- |
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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 |
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. |
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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 |