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Description - Non-Linear Time Series Models in Empirical Finance by Philip Hans Franses

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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Book Details

ISBN: 9780521779654
ISBN-10: 0521779650
Format: Paperback
(247mm x 174mm x 19mm)
Pages: 298
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 27-Jul-2000
Country of Publication: United Kingdom

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