Non-Linear Time Series Models in Empirical Finance

Klappentext Reviews recently developed non-linear time series models! and their applications to financial markets. Zusammenfassung 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. Inhaltsverzeichnis 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.

Dettagli sul prodotto

• Autori: Dick Van Dijk, Philip Hans Franses, Philip Hans (Erasmus Universiteit Rotterd Franses, Philip Hans Dijk Franses, Dick van Dijk
• Editore: Cambridge University Press ELT
• Lingue: Inglese
• Formato: Tascabile
• Pubblicazione: 27.07.2000
• EAN: 9780521779654
• ISBN: 978-0-521-77965-4
• Pagine: 298
• Categoria: Scienze sociali, diritto, economia > Economia > Economia politica