Non-Linear Time Series Models in Empirical Finance by Philip Hans Franses,Dick van Dijk

Non-Linear Time Series Models in Empirical Finance  by Philip Hans Franses,Dick van Dijk
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Non-Linear Time Series Models in Empirical Finance

by Philip Hans Franses,Dick van Dijk

Publisher:Cambridge University Press



2003



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.