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Non-Linear Time Series Models in Empirical Finance

Non-Linear Time Series Models in Empirical Finance

Hardcover

EconomicsInvesting & Finance

ISBN10: 0521770416
ISBN13: 9780521770415
Publisher: Cambridge University Press
Published: Jul 27 2000
Pages: 298
Weight: 1.62
Height: 0.69 Width: 7.00 Depth: 10.00
Language: English
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.

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