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



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Цена: 8314р.
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Склад Англия: 856 шт.  Склад Америка: 109 шт.  
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Автор: Philip Hans Franses
Название:  Non-linear time series models in empirical finance
Перевод названия: Нелинейный ряд времени в эмпирических финансах
ISBN: 9780521779654
Издательство: Cambridge Academ
Классификация:
ISBN-10: 0521779650
Обложка/Формат: Paperback
Страницы: 296
Вес: 0.59 кг.
Дата издания: 27.07.2000
Язык: English
Иллюстрации: 51 tables 44 figures
Размер: 246 x 176 x 19
Читательская аудитория: Tertiary education (us: college)
Ссылка на Издательство: Link
Рейтинг:
Поставляется из: Англии
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.





Time Series Analysis

Автор: Hamilton, James
Название: Time Series Analysis
ISBN: 0691042896 ISBN-13(EAN): 9780691042893
Издательство: Wiley
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Цена: 11798 р.
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Описание: A graduate-level text which describes the recent dramatic changes that have taken place in the way that researchers analyze economic and financial time series. It explores such important innovations as vector regression, nonlinear time series models and the generalized methods of moments.

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: 24501 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Deals with topics in modern financial mathematics in a way that does not use advanced mathematical tools and shows how these models can be numerically implemented in a practical way. This book is aimed at undergraduate students, MBA students, and executives who wish to understand and apply financial models in the spreadsheet computing environment.

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: 20789 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. 

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: 9762 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.

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
Рейтинг:
Цена: 13739 р.
Наличие на складе: Невозможна поставка.

Описание: This new edition updates Durbin & Koopman`s important text on the state space approach to time series analysis providing a more comprehensive treatment, including the filtering of nonlinear and non-Gaussian series. The book provides an excellent source for the development of practical courses on time series analysis.

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: 11748 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.

Econometric Modelling with Time Series

Автор: Martin
Название: Econometric Modelling with Time Series
ISBN: 0521196604 ISBN-13(EAN): 9780521196604
Издательство: Cambridge Academ
Рейтинг:
Цена: 17714 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

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.

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: 32670 р.
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Описание: New statistical methods and future directions of research in time series A Course in Time Series Analysis demonstrates how to build time series models for univariate and multivariate time series data.

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
Рейтинг:
Цена: 9398 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.

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: 7410 р.
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Описание: With a new author team contributing decades of practical experience, this fully updated and thoroughly classroom-tested second edition textbook prepares students and practitioners to create effective forecasting models and master the techniques of time series analysis. Taking a practical and example-driven approach, this textbook summarises the most critical decisions, techniques and steps involved in creating forecasting models for business and economics. Students are led through the process with an entirely new set of carefully developed theoretical and practical exercises. Chapters examine the key features of economic time series, univariate time series analysis, trends, seasonality, aberrant observations, conditional heteroskedasticity and ARCH models, non-linearity and multivariate time series, making this a complete practical guide. Downloadable datasets are available online.

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
Рейтинг:
Цена: 12835 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.

Periodic Time Series Models

Автор: Franses, Philip H.;Paap, Richard
Название: Periodic Time Series Models
ISBN: 019924202X ISBN-13(EAN): 9780199242023
Издательство: Oxford Academ
Рейтинг:
Цена: 21241 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: In this modern study of the use of periodic models in the description and forecasting of economic data the authors investigate such areas as seasonal time series, periodic time series models, periodic integration and periodic cointegration.


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