Non-Linear Time Series Models in Empirical Finance. Philip Hans Franses, Dick Van Dijk. ISBN: 0521779650

Non-Linear Time Series Models in Empirical Finance

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.
Авторы Philip Hans Franses, Dick Van Dijk
Издательство Cambridge University Press
Язык английский
Год выпуска 2000
ISBN 0521779650
Переплёт Мягкая обложка
Количество страниц 296
Код товара 9780521779654
Тип издания Отдельное издание
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