Non-Linear Time Series Models in Empirical Finance

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

• Philip Franses is a rising star within econometrics teaching and research, this textbook is based around his highly succesful lecture programme
• The follow up book to two very successful Press books in this area (MILLS/The Econometric Modelling of Financial Time Series; FRANSES/Time Series Models)
• An easy to follow, up to-date exposition including numerous examples and case studies, making this the most accessible book in this area, and the best starting-point for non-specialists