Non-Linear Time Series Models in Empirical Finance

Name: Non-Linear Time Series Models in Empirical Finance
SKU: 12493350
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Description

Although many of the models commonly used in empirical finance are linear, the nature of financial data suggests that non-linear models are more appropriate for forecasting and accurately describing returns and volatility. The enormous number of non-linear time series models appropriate for modeling and forecasting economic time series models makes choosing the best model for a particular application daunting. This classroom-tested advanced undergraduate and graduate textbook - the most up to-date and accessible guide available - provides a rigorous treatment of recently developed non-linear models, including regime-switching and artificial neural networks. The focus is on the potential applicability for describing and forecasting financial asset returns and their associated volatility. The models are analysed in detail and are not treated as 'black boxes'. Illustrated using a wide range of financial data, drawn from sources including the financial markets of Tokyo, London and Frankfurt.

Release date Australia

July 27th, 2000

Author

Audiences

Professional & Vocational
Tertiary Education (US: College)

Illustrations

51 Tables, unspecified

Pages

298

Dimensions

178x254x17

ISBN-13

9780521770415

Product ID

12493350

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