Non-Linear Time Series Models in Empirical Finance

Philip Hans Franses

ISBN 10: 0521770416 / ISBN 13: 9780521770415

Verlag: Cambridge University Press, 2000

Beschreibung

Druck auf Anfrage Neuware - Printed after ordering - 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, first published in 2000, 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.

Bestandsnummer des Verkäufers 9780521770415

Bibliografische Details

• Titel: Non-Linear Time Series Models in Empirical Finance
• Verlag: Cambridge University Press
• Erscheinungsjahr: 2000
• Sprache: Englisch
• ISBN-10: 0521770416
• ISBN-13: 9780521770415
• Einband: Buch
• Zustand: Neu
• Abmessungen: 260B x 183 H x 21 T Millimeter Breite: 260 mm, Höhe: 183 mm, Tiefe: 21 mm
• Gewicht: 759 Gramm

Über diesen Titel

Inhaltsangabe

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, first published in 2000, 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.

Über die Autorin bzw. den Autor

Charlotte y Peter Fiell son dos autoridades en historia, teoría y crítica del diseño y han escrito más de sesenta libros sobre la materia, muchos de los cuales se han convertido en éxitos de ventas. También han impartido conferencias y cursos como profesores invitados, han comisariado exposiciones y asesorado a fabricantes, museos, salas de subastas y grandes coleccionistas privados de todo el mundo. Los Fiell han escrito numerosos libros para TASCHEN, entre los que se incluyen 1000 Chairs, Diseño del siglo XX, El diseño industrial de la A a la Z, Scandinavian Design y Diseño del siglo XXI.