Nonlinear Time Series Analysis of Economic and Financial Data by Philip Rothman, Paperback | Barnes & Noble
Nonlinear Time Series Analysis of Economic and Financial Data

Nonlinear Time Series Analysis of Economic and Financial Data

by Philip Rothman
     
 

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Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises

Overview

Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.

Editorial Reviews

Booknews
Offers a combination of both applied and methodological papers by leading researchers in the field of economic and financial nonlinear time series analysis. Discusses business cycle turning points, Markov switching, spectral properties of economic and financial time series, and nonlinear econometric modeling. Sheds lights on findings in unit root tests and excess returns, stationary tests with multiple endogenized breaks, nonlinear evolution in UK stock returns and volume, and improved testing and specification of smooth transition regression models. Annotation c. Book News, Inc., Portland, OR (booknew.com)

Product Details

ISBN-13:
9781461373346
Publisher:
Springer US
Publication date:
04/30/2013
Series:
Dynamic Modeling and Econometrics in Economics and Finance Series, #1
Edition description:
Softcover reprint of the original 1st ed. 1999
Pages:
373
Product dimensions:
6.10(w) x 9.25(h) x 0.03(d)

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