Qty:1
  • List Price: $64.99
  • Save: $8.18 (13%)
In Stock.
Ships from and sold by Amazon.com.
Gift-wrap available.
Non-Linear Time Series Mo... has been added to your Cart
+ $3.99 shipping
Used: Acceptable | Details
Sold by Goodwillswpa
Condition: Used: Acceptable
Comment: Marks on cover. Pages are yellowed/tanned due to aging. Remainder mark present. Wear on edges of cover. Wear on spine. Writing on outside edges of pages. Book may have significant cosmetic wear including creasing or rolling of the cover, rolled or creased pages, remainder marks, tanned/yellowed pages, and visible wear or skewing of the spine. Previous sales stickers may be present on cover. Items usually ship within two business days. Allow 4 to 14 days for standard shipping, 2-4 for Expedited. Orders ship daily Monday through Friday, with the exception of postal holidays.
Access codes and supplements are not guaranteed with used items.
Sell yours for a Gift Card
We'll buy it for $2.00
Learn More
Trade in now
Have one to sell? Sell on Amazon
Flip to back Flip to front
Listen Playing... Paused   You're listening to a sample of the Audible audio edition.
Learn more
See this image

Non-Linear Time Series Models in Empirical Finance Paperback – September 4, 2000

ISBN-13: 978-0521779654 ISBN-10: 0521779650 Edition: 1st

Buy New
Price: $56.81
22 New from $39.01 17 Used from $24.69
Amazon Price New from Used from
Paperback
"Please retry"
$56.81
$39.01 $24.69
Free%20Two-Day%20Shipping%20for%20College%20Students%20with%20Amazon%20Student


Spring Books
The Big Books of Spring
See our editors' picks for the books you'll want to read this season, from blockbusters and biographies to new fiction and children's books.
$56.81 FREE Shipping. In Stock. Ships from and sold by Amazon.com. Gift-wrap available.

Frequently Bought Together

Non-Linear Time Series Models in Empirical Finance + New Introduction to Multiple Time Series Analysis
Price for both: $126.76

Buy the selected items together
NO_CONTENT_IN_FEATURE

Best Books of the Month
Best Books of the Month
Want to know our Editors' picks for the best books of the month? Browse Best Books of the Month, featuring our favorite new books in more than a dozen categories.

Product Details

  • Paperback: 298 pages
  • Publisher: Cambridge University Press; 1 edition (September 4, 2000)
  • Language: English
  • ISBN-10: 0521779650
  • ISBN-13: 978-0521779654
  • Product Dimensions: 6.8 x 0.6 x 9.7 inches
  • Shipping Weight: 1.4 pounds (View shipping rates and policies)
  • Average Customer Review: 4.9 out of 5 stars  See all reviews (7 customer reviews)
  • Amazon Best Sellers Rank: #1,722,121 in Books (See Top 100 in Books)

Editorial Reviews

Book Description

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 non-linear models, including regime-switching and artificial neural networks, and applies them to describing and forecasting financial asset returns and volatility. Uses a wide range of financial data, drawn from sources including the markets of Tokyo, London and Frankfurt.

Customer Reviews

4.9 out of 5 stars
5 star
86%
4 star
14%
3 star
0%
2 star
0%
1 star
0%
See all 7 customer reviews
Good structure (follows a logic path), well written and good examples.
G. Yanez
Advanced undergraduate students and graduate students will probably understand the book (although I recommend it mostly for people interested in the field).
Daniel Ventosa S
Like his other books, Franses provides an nice applied treatment of non-linear time series models that are in this case applicable to finance.
Michael R. Chernick

Most Helpful Customer Reviews

39 of 39 people found the following review helpful By Daniel Ventosa S on August 22, 2001
Format: Paperback
If you are interested in what's up nowadays in the finance modeling, you should have this book. It's a review of some of the more recent, important and promising works of the field. Advanced undergraduate students and graduate students will probably understand the book (although I recommend it mostly for people interested in the field). If you want an easy introduction of most of the topics (but pretty older), then, grab Walter Enders book or, the more complicated, but also more complete book of James D. Hamilton. Reading this manual is easy because it's clear and its style is not boring. If you really love finance econometrics, you'll find this book fun to read. The fields covered by the authors are: 1.-Linear models (pretty brief), unit roots, seasonality and aberrant observations; 2.-Regime-switching models for returns such as TAR (Threshold Autoregressive), SETAR,...; 3.-Regime switching models for volatility (and here you'll have the entire family of ARCH models, with its youngest cousins such as GARCH QGARCH, LSTGARCH, VS-GARCH); 4.-Artificial Neural Network for returns. I'm particularly interested in GARCH-type models, and I can tell this part is particularly well done. At the end of the chapter there is a very illuminating empirical comparison between the models. I cannot say if the "artificial neural networks" is a good chapter since I'm not an expert, but the least I can say is that it's pretty understandable (although quite challenging for an ignorant like myself).
Comment Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback. If this review is inappropriate, please let us know.
Sorry, we failed to record your vote. Please try again
32 of 33 people found the following review helpful By Abstract Space on January 9, 2001
Format: Hardcover Verified Purchase
The title of this book caught my attention immediately and it actually contains more interesting topics than I thought. After I bought a copy through Amazon and have a closer read, I'm not disapointed by the two authors' writing, which is probably partially based on the second author's PhD dissertation, and so it is a little narrow-focused. But as the authors stated, they want to produce a book which deals with nonlinear techniques as opposed to Mills's mostly linear methods in fiance time series. They have delivered. With hot topics such as regime switching, ARCH models, and neural network applications in finance, I'm sure this book will find a lot of interested readers and will be a key reference in nonlinear empirical finance.
Comment Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback. If this review is inappropriate, please let us know.
Sorry, we failed to record your vote. Please try again
23 of 23 people found the following review helpful By Michael R. Chernick on February 6, 2008
Format: Paperback
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.
Comment Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback. If this review is inappropriate, please let us know.
Sorry, we failed to record your vote. Please try again
4 of 4 people found the following review helpful By grouchy on March 19, 2006
Format: Paperback
If you are looking for a book that expands on financial econometrics beyond "The Econometrics of Financial Markets", the dated but otherwise excellent book of Campbell, Lo, and MacKinlay this is an excellent choice.

The premise is the well-known: while models used in empirical finance are linear, the nature of financial data suggests that non-linear models are more appropriate. It is particularly in forecasting and more accurately describing returns and volatility where the non-linear models offer considerable advantages over linear models.

Since there are considerable candidate non-linear time series models available for the modeler or forecaster of economic time series, selecting the right model from the get-go can be difficult. Of course, if you have had good lecture notes from your grad program, you are set. If not, then this book does help you along the way. It is an up to-date guide and provides a rigorous treatment of non-linear models. I like the regime-switching but the artificial neural networks part leaves me cold.

One of the nice things about the book is that it uses a wide range of financial data, from Tokyo, London and Frankfurt.

1. Introduction;

2. Some concepts in Time Series analysis; (Good review of TS stuff)

3. Regime-switching models for returns; (I like this part; explains everything well and easy to follow. Of course, if you are new to the area, this is hard)

4. Regime-Switching models for Volatility; (This is a tough area and they do a good job)

5. Artificial neural networks for returns;

6. Conclusion.

The GAUSS code is available at the authors' website. This is a nice feature, although I do not use GAUSS.
Comment Was this review helpful to you? Yes No Sending feedback...
Thank you for your feedback. If this review is inappropriate, please let us know.
Sorry, we failed to record your vote. Please try again

More About the Author

Discover books, learn about writers, read author blogs, and more.

Set up an Amazon Giveaway

Amazon Giveaway allows you to run promotional giveaways in order to create buzz, reward your audience, and attract new followers and customers. Learn more
Non-Linear Time Series Models in Empirical Finance
This item: Non-Linear Time Series Models in Empirical Finance
Price: $56.81
Ships from and sold by Amazon.com