Philip Hans Franses,Dick Van Dijk: Non-Linear Time Series Models in Empirical Finance
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, first published in 2000, 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.
Although best remembered today for his novels, Thomas Hardy thought of himself as a poet forced by circumstance to write fiction for a living. This generous selection of nearly two hundred poems includes such familiar pieces as "During Wind and Rain," "Channel Firing," "Afterwards," "The Darkling Thrush," and "The Oxen," but it will also acquaint readers with many less-celebrated works, among them "To Lizbie Browne," "After the Last Breath," "My Spirit Will Not Haunt the Mound," "The Haunter," "Old Furniture," "A Procession of Dead Days," "The Harbour Bridge," "At a Country Fair," "Last Love-Word," "Waiting Both," and Non-Linear Time Series Models in Empirical Finance pdf "Proud Songsters." With an introduction and annotations by Robert Mezey, this Penguin Classics edition will help readers to recognize Hardy as one of the greatest English poets of this century.
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Author: Philip Hans Franses,Dick Van Dijk
Number of Pages: 298 pages
Published Date: 01 Oct 2000
Publisher: CAMBRIDGE UNIVERSITY PRESS
Publication Country: Cambridge, United Kingdom
Language: English
ISBN: 9780521779654
Download Link: Click Here
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