國立虎尾科技大學 |

Nonlinear time series models in empirical finance /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Nonlinear time series models in empirical finance // Philip Hans Franses, Dick van Dijk.
Author:	Franses, Philip Hans,
other author:	Dijk, Dick van,
Description:	1 online resource (xvi, 280 pages) :digital, PDF file(s). :
Notes:	Title from publisher's bibliographic system (viewed on 05 Oct 2015).
Subject:	Finance - Mathematical models. -
Online resource:	https://doi.org/10.1017/CBO9780511754067
ISBN:	9780511754067 (ebook)

Nonlinear time series models in empirical finance /
Franses, Philip Hans,1963-

Nonlinear time series models in empirical finance /Philip Hans Franses, Dick van Dijk. - 1 online resource (xvi, 280 pages) :digital, PDF file(s).

Title from publisher's bibliographic system (viewed on 05 Oct 2015).

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.

ISBN: 9780511754067 (ebook)Subjects--Topical Terms:

557653
Finance
--Mathematical models.

LC Class. No.: HG106 / .F73 2000

Dewey Class. No.: 332/.01/5118

Nonlinear time series models in empirical finance /
LDR:01993nam a2200289 i 4500 001 1127710
003 UkCbUP
005 20151005020621.0
006 m|||||o||d||||||||
007 cr||||||||||||
008 240926s2000||||enk o ||1 0|eng|d
020 $a 9780511754067 (ebook)
020 $z 9780521770415 (hardback)
020 $z 9780521779654 (paperback)
035 $a CR9780511754067
040 $a UkCbUP $b eng $e rda $c UkCbUP
050 0 0 $a HG106 $b .F73 2000
082 0 0 $a 332/.01/5118 $2 21
100 1 $a Franses, Philip Hans, $d 1963- $3 809432
245 1 0 $a Nonlinear time series models in empirical finance / $c Philip Hans Franses, Dick van Dijk.
264 1 $a Cambridge : $b Cambridge University Press, $c 2000.
300 $a 1 online resource (xvi, 280 pages) : $b digital, PDF file(s).
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Title from publisher's bibliographic system (viewed on 05 Oct 2015).
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, 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.
650 0 $a Finance $x Mathematical models. $3 557653
650 0 $a Time-series analysis. $3 528412
700 1 $a Dijk, Dick van, $e author. $3 1447246
776 0 8 $i Print version: $z 9780521770415
856 4 0 $u https://doi.org/10.1017/CBO9780511754067