Non-Linear Time Series Models in Empirical Finance
By Philip Hans Franses, Dick van Dijk
Publisher: Cambridge University Press; 1 edition | 2000 | 296 Pages | ISBN: 0521770416 | PDF | 3.39 MB

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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.