Nonlinear time series models in empirical finance
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 nonlinea...
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| フォーマット: | 図書 |
| 言語: | Undetermined |
| 出版事項: |
New York
Cambridge University Press
2000
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| タグ: |
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| Thư viện lưu trữ: | Trung tâm Học liệu Trường Đại học Cần Thơ |
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| 要約: | 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 |
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