Non-Linear Time Series Models in Empirical Finance

by Dick van Dijk and Philip Hans Franses

Book Overview

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...

• Format: Paperback
• Language: English
• ISBN: 0521779650
• ISBN13: 9780521779654
• Release Date: September 2000
• Publisher: Cambridge University Press
• Length: 298 Pages
• Weight: 1.35 lbs.
• Dimensions: 0.8" x 6.8" x 9.6"