Non-Linear Time Series Models in Empirical Finance
Author: Philip Hans Franses, Dick van Dijk
List Price: $33.00
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ISBN: 0521779650
Publisher: Cambridge University Press (27 July, 2000)
Sales Rank: 5,649
Average Customer Rating: 4.8 out of 5
Customer Reviews
Rating: 5 out of 5
nice coverage if non-linear time series
Like his other books, Franses provides an nice applied treatment of non-linear time series models that are in this case applicable to finance. It includes extensive coverage of regime switching models. It includes data drawn from several financial markets including Tokyo, London and Frankfurt.
Rating: 5 out of 5
A Long-Awaited Update To Granger and Terasvirta's Book .
The major distinction of the book from Granger&Terasvirta's earlier work is its focus on financial applications of regime switching (RS) models and the author's separate treatment of RS in returns(means) and volatilities(variances) by putting them in different chapters. Another welcome feature is the availability of accompanying procedures in Gauss downloadable from the author's website. I would have expected a lengthier treatment of Markov RS models but I guess either the authors leave this to Tsay's new book or quote Hamilton as classical reference source.
Rating: 5 out of 5
A Long Awaited Update To Granger and Temasvirta's Book
The major distinction of the book from Granger&Terasvirta's earlier work is its focus on financial applications of regime switching (RS) models and the author's strategy of separate treatment of RS of returns(means) and volatilities(variances) by putting them in different chapters. Another wellcome feature is the availability of accompanying procedures in Gauss downloadable from the author's website. I would have expected a lengthier treatment of Markov RS models but I guess either the authors leave this to Tsay's new book or quote Hamilton as classical reference source. Similar Products
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