Non-Linear Time Series Models in Empirical Finance
Publisher:Cambridge University Press (2000-09-04) | ISBN-10: 0521770416 | PDF | 6.3 Mb | 296 pages
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.