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| 010 | _a 99088504 | ||
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_aHG106 _b.F73 2000 |
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_a332.015118 _221 |
| 100 | 1 |
_aFranses, Philip Hans, _d1963- _eauthor. _9396623 |
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| 245 | 1 | 0 |
_aNonlinear time series models in empirical finance / _cPhilip Hans Franses, Dick van Dijk. |
| 264 | 1 |
_aCambridge, UK ; _aNew York : _bCambridge University Press, _c2000. |
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| 300 |
_axvi, 280 pages : _billustrations ; _c26 cm |
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| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_aunmediated _bn _2rdamedia |
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| 338 |
_avolume _bnc _2rdacarrier |
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| 504 | _aIncludes bibliographical references (pages 254-271) and index. | ||
| 505 | 0 | 0 |
_g1. _tIntroduction -- _g2. _tSome concepts in Time Series analysis -- _g3. _tRegime-switching models for returns -- _g4. _tRegime-Switching models for Volatility -- _g5. _tArtificial neural networks for returns -- _g6. _tConclusion. |
| 520 | _a"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."--Publisher description. | ||
| 588 | _aMachine converted from AACR2 source record. | ||
| 650 | 0 |
_aFinance _xMathematical models. _9370807 |
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| 650 | 0 |
_aTime-series analysis _9325098 |
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| 700 | 1 |
_aDijk, Dick van, _eauthor. _9263464 |
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| 856 | 4 | 1 |
_3Sample text _uhttp://www.loc.gov/catdir/samples/cam032/99088504.html |
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