Nonlinear Time Series Models in Empirical Finance

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Book Description
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.

Paperback: 296 pages

Publisher: Cambridge University Press (September 4, 2000)

Language: English

ISBN-10: 0521779650

ISBN-13: 978-0521779654

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Nonlinear Time Series Models in Empirical Finance
需要: 20 个论坛币  [购买]

98487.rar (976.56 KB, 需要: 20 个论坛币)

2007-3-13 10:48:00 上传

Nonlinear Time Series Models in Empirical Finance
需要: 20 个论坛币  [购买]

98488.rar (976.56 KB, 需要: 20 个论坛币)

2007-3-13 10:48:00 上传

Nonlinear Time Series Models in Empirical Finance
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2007-3-13 10:48:00 上传

Nonlinear Time Series Models in Empirical Finance
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关键词：Time Series Empirical Nonlinear nonlinea Finance Finance models Empirical Series Nonlinear

不错的书，买了。

正在找这本书呢，这可是在Amazon上金融类排名第二的书啊，非常感谢楼主。

不如Philip Hans Franses的另外一本书（Time Series Models for Business and Economic
Forecasting (Cambridge University Press, 1998)）写得好，以下是ＣＯＮＴＥＮＴＳ大家看看要不要买。

1 Introduction 1
1.1 Introduction and outline of the book 1
1.2 Typical features of financial time series 5
2 Some concepts in time series analysis 20
2.1 Preliminaries 20
2.2 Empirical specification strategy 27
2.3 Forecasting returns with linear models 44
2.4 Unit roots and seasonality 51
2.5 Aberrant observations 61
3 Regime-switching models for returns 69
3.1 Representation 71
3.2 Estimation 83
3.3 Testing for regime-switching nonlinearity 100
3.4 Diagnostic checking 108
3.5 Forecasting 117
3.6 Impulse response functions 125
3.7 On multivariate regime-switching models 132
4 Regime-switching models for volatility 135
4.1 Representation 136
4.2 Testing for GARCH 157
4.3 Estimation 170

4.4 Diagnostic checking 182
4.5 Forecasting 187
4.6 Impulse response functions 197
4.7 On multivariate GARCH models 200
5 Artificial neural networks for returns 206
5.1 Representation 207
5.2 Estimation 215
5.3 Model evaluation and model selection 222
5.4 Forecasting 234
5.5 ANNs and other regime-switching models 237
5.6 Testing for nonlinearity using ANNs 245
6 Conclusions 251
Bibliography 254
Author index 272
Subject index 277

楼上的朋友，传上来吧.

good

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