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Non-linear time series models in empirical finance, Philip Hans Franses
Non-linear time series models in empirical finance

Автор: Philip Hans Franses
Название:  Non-linear time series models in empirical finance   (Нелинейный ряд времени в эмпирических финансах)
Издательство: Cambridge Academ
Классификация:
Эконометрика
Финансы

ISBN: 0521779650
ISBN-13(EAN): 9780521779654
ISBN: 0-521-77965-0
ISBN-13(EAN): 978-0-521-77965-4
Обложка/Формат: Paperback
Страницы: 296
Вес: 0.59 кг.
Дата издания: 27.07.2000
Язык: ENG
Иллюстрации: 51 tables 44 figures
Размер: 24.49 x 17.37 x 1.91 cm
Читательская аудитория: Tertiary education (us: college)
Ссылка на Издательство: Link
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Поставляется из: Англии
Описание: 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 - the most up to-date and accessible guide available - 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.
Описание: Reviews recently developed non-linear time series models, and their applications to financial markets.
Дополнительное описание: Subject: Economics, business studies / Econometrics, statistics
Readership: finance, econometrics, time series modelling, forecasting
Level: academic researchers, graduate students, professionals, undergraduate students
Format: 247 x 174 mm 296pp 51 tables 44 figures
Chapter Titles: 1. Introduction; 2. Some concepts in Time Series analysis; 3. Regime-switching models for returns; 4. Regime-Switching models for Volatility; 5. Artificial neural networks for returns; 6. Conclusion.


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Time Series Models for Business and Economic Forecasting

Автор: Franses
Название: Time Series Models for Business and Economic Forecasting
ISBN: 0521520916 ISBN-13(EAN): 9780521520911
Издательство: Cambridge Academ
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Цена: 3067 р.
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Time Series Analysis

Автор: Hamilton, James
Название: Time Series Analysis
ISBN: 0691042896 ISBN-13(EAN): 9780691042893
Издательство: Wiley
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Цена: 4679 р.
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Stable Paretian Models in Finance

Автор: Svetlozar T. Rachev
Название: Stable Paretian Models in Finance
ISBN: 0471953148 ISBN-13(EAN): 9780471953142
Издательство: Wiley
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Цена: 7920 р.
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Описание: The authors reconsider the problem of parametrically specifying distribution suitable for asset-return mode. They describe alternative distributions, showing how they can be estimated and applied to stock-index and exchange-rate data. The implications for options pricing are also investigated.

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Binomial Models in Finance

Автор: Hoek John van der, Elliott Robert J.
Название: Binomial Models in Finance
ISBN: 0387258981 ISBN-13(EAN): 9780387258980
Издательство: Springer
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Цена: 12704 р.
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Hidden Markov Models in Finance

Автор: Mamon Rogemar S., Elliott Robert J.
Название: Hidden Markov Models in Finance
ISBN: 0387710817 ISBN-13(EAN): 9780387710815
Издательство: Springer
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Цена: 8469 р.
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Описание: A number of methodologies have been employed to provide decision making solutions to a whole assortment of financial problems in today's globalized markets. Hidden Markov Models in Finance by Mamon and Elliott will be the first systematic application of these methods to some special kinds of financial problems; namely, pricing options and variance swaps, valuation of life insurance policies, interest rate theory, credit risk modeling, risk management, analysis of future demand and inventory level, testing foreign exchange rate hypothesis, and early warning systems for currency crises. This book provides researchers and practitioners with analyses that allow them to sort through the random "noise" of financial markets (i.e., turbulence, volatility, emotion, chaotic events, etc.) and analyze the fundamental components of economic markets. Hence, Hidden Markov Models in Finance provides decision makers with a clear, accurate picture of core financial components by filtering out the random noise in financial markets. 

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An Introduction to State Space Time Series Analysis

Автор: Commandeur, Jacques J.F.; Koopman, Siem Jan
Название: An Introduction to State Space Time Series Analysis
ISBN: 0199228876 ISBN-13(EAN): 9780199228874
Издательство: Oxford Academ
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Цена: 2980 р.
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Описание: This text provides an introduction to time series analysis using state space methodology to readers who are neither familiar with time series analysis, nor with state space methods. This is the first in a series of books designed to provide practitioners, researchers, and students with practical introductions to various topics in econometrics.

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Time Series Analysis by State Space Methods

Автор: Durbin, James; Koopman, Siem Jan
Название: Time Series Analysis by State Space Methods
ISBN: 019964117X ISBN-13(EAN): 9780199641178
Издательство: Oxford Academ
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Цена: 5084 р.
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Econometric Modelling with Time Series

Автор: Martin
Название: Econometric Modelling with Time Series
ISBN: 0521139813 ISBN-13(EAN): 9780521139816
Издательство: Cambridge Academ
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Цена: 5347 р.
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Описание: This book provides a general framework for specifying, estimating and testing time series econometric models. Special emphasis is given to estimation by maximum likelihood, but other methods are also discussed, including quasi-maximum likelihood estimation, generalized method of moments estimation, nonparametric estimation and estimation by simulation. An important advantage of adopting the principle of maximum likelihood as the unifying framework for the book is that many of the estimators and test statistics proposed in econometrics can be derived within a likelihood framework, thereby providing a coherent vehicle for understanding their properties and interrelationships. In contrast to many existing econometric textbooks, which deal mainly with the theoretical properties of estimators and test statistics through a theorem-proof presentation, this book squarely addresses implementation to provide direct conduits between the theory and applied work.

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Econometric Modelling with Time Series

Автор: Martin
Название: Econometric Modelling with Time Series
ISBN: 0521196604 ISBN-13(EAN): 9780521196604
Издательство: Cambridge Academ
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Цена: 8326 р.
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Описание: This book provides a general framework for specifying, estimating and testing time series econometric models. Special emphasis is given to estimation by maximum likelihood, but other methods are also discussed, including quasi-maximum likelihood estimation, generalized method of moments estimation, nonparametric estimation and estimation by simulation. An important advantage of adopting the principle of maximum likelihood as the unifying framework for the book is that many of the estimators and test statistics proposed in econometrics can be derived within a likelihood framework, thereby providing a coherent vehicle for understanding their properties and interrelationships. In contrast to many existing econometric textbooks, which deal mainly with the theoretical properties of estimators and test statistics through a theorem-proof presentation, this book squarely addresses implementation to provide direct conduits between the theory and applied work.

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Course in time series analysis

Автор: Pena, Daniel S. Tiao, George C. Tsay, Ruey S.
Название: Course in time series analysis
ISBN: 047136164X ISBN-13(EAN): 9780471361640
Издательство: Wiley
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Цена: 11352 р.
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Forecasting, structural time series models and the kalman filter

Автор: Harvey, Andrew C.
Название: Forecasting, structural time series models and the kalman filter
ISBN: 0521405734 ISBN-13(EAN): 9780521405737
Издательство: Cambridge Academ
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Цена: 4032 р.
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Описание: This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose.

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Книга  "Periodic Time Series Models " на английском языке/ Авторы P. Franses and R. Paap

Название: Книга "Periodic Time Series Models " на английском языке/ Авторы P. Franses and R. Paap
ISBN: 0199242038 ISBN-13(EAN): 9780199242030
Издательство: Oxford Academ
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Цена: 3681 р.
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Описание: This up-to-date study of the use of periodic models in the description and forecasting of economic data incorporates developments in the field. The authors investigate such areas as seasonal time series; periodic time series models; periodic integration; and periodic co integration.

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