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Non-Linear Time Series Models in Empirical Finance

textbook
  • Date Published: January 2005
  • availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
  • format: Adobe eBook Reader
  • isbn: 9780511034084

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About the Authors
  • 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.

    • Philip Franses is a rising star within econometrics teaching and research, this textbook is based around his highly succesful lecture programme
    • The follow up book to two very successful Press books in this area (MILLS/The Econometric Modelling of Financial Time Series; FRANSES/Time Series Models)
    • An easy to follow, up to-date exposition including numerous examples and case studies, making this the most accessible book in this area, and the best starting-point for non-specialists
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    Product details

    • Date Published: January 2005
    • format: Adobe eBook Reader
    • isbn: 9780511034084
    • contains: 51 tables
    • availability: This ISBN is for an eBook version which is distributed on our behalf by a third party.
  • Table of Contents

    1. Introduction
    2. Some concepts in time series analysis
    3. Regime-switching models for returns
    4. Regime-switching models for volatility
    5. Artificial neural networks for returns
    6. Conclusion.

  • Authors

    Philip Hans Franses, Erasmus Universiteit Rotterdam

    Dick van Dijk, Erasmus Universiteit Rotterdam

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