Non-Linear Time Series Models in Empirical

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 2000
ISBN 0521779650
Переплёт Мягкая обложка
Количество страниц 296
Код товара 9780521779654
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с 22 июня 2018
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