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Title: Non-Linear Time Series Models in Empirical Finance by Philip Hans Franses, Dick van Dijk ISBN: 0-521-77965-0 Publisher: Cambridge University Press Pub. Date: 27 July, 2000 Format: Paperback Volumes: 1 List Price(USD): $33.00 |
Average Customer Rating: 4.8 (5 reviews)
Rating: 5
Summary: nice coverage if non-linear time series
Comment: 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
Summary: A Long-Awaited Update To Granger and Terasvirta's Book .
Comment: 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
Summary: A Long Awaited Update To Granger and Temasvirta's Book
Comment: 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.
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Title: Time Series Models for Business and Economic Forecasting by Philip Hans Franses ISBN: 0521586410 Publisher: Cambridge University Press Pub. Date: 15 October, 1998 List Price(USD): $33.00 |
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Title: Market Models: A Guide to Financial Data Analysis by Carol Alexander ISBN: 0471899755 Publisher: John Wiley & Sons Pub. Date: 15 November, 2001 List Price(USD): $105.00 |
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Title: Analysis of Financial Time Series by Ruey S. Tsay ISBN: 0471415448 Publisher: John Wiley & Sons Pub. Date: 15 October, 2001 List Price(USD): $99.95 |
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Title: Time Series Analysis by James Douglas Hamilton ISBN: 0691042896 Publisher: Princeton Univ Pr Pub. Date: 11 January, 1994 List Price(USD): $85.00 |
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Title: Financial Econometrics: Problems, Models, and Methods. by Christian Gourieroux, Joann Jasiak ISBN: 0691088721 Publisher: Princeton Univ Pr Pub. Date: 01 November, 2001 List Price(USD): $65.00 |
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