Non-Linear Time Series Models in Empirical Finance

This 2000 volume reviews non-linear time series models, and their applications to financial markets.

List 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.

Summary

An accessible guide to one of the fastest growing areas in financial analysis by one of Europes's leading teaching and researching teams, first published in 2000. This classroom-tested advanced undergraduate and graduate textbook provides an in-depth treatment of non-linear models, including regime-switching and artificial neural networks.

Product details

• Authors: Dick Van Dijk, Philip Hans Franses, Dick van Dijk
• Publisher: Cambridge University Press
• Languages: English
• Product format: Hardback
• Released: 19.05.2011
• EAN: 9780521770415
• ISBN: 978-0-521-77041-5
• No. of pages: 298
• Dimensions: 183 mm x 260 mm x 21 mm
• Weight: 759 g
• Subject: Social sciences, law, business > Business > Advertising, marketing