Non-Linear Time Series Models in Empirical Finance

Book Description

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.

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Although many of the models commonly used in empirical finance are linear, the nature of financial data suggests that non-linear models are more appropriate for forecasting and accurately describing returns and volatility. The enormous number of non-linear time series models appropriate for modeling and forecasting economic time series models makes choosing the best model for a particular application daunting. This classroom-tested advanced undergraduate and graduate textbook - the most up to-date and accessible guide available - provides a rigorous treatment of recently developed non-linear models, including regime-switching and artificial neural networks. The focus is on the potential applicability for describing and forecasting financial asset returns and their associated volatility. The models are analysed in detail and are not treated as 'black boxes'. Illustrated using a wide range of financial data, drawn from sources including the financial markets of Tokyo, London and Frankfurt.

Customer Reviews:

An excellent - practical and insightful- introduction .......2006-03-20

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.

Great book........2005-09-20

Just as in his other books, Franses demonstrates that he is a good communicator. Good structure (follows a logic path), well written and good examples.
Is it a good idea to buy this book? Yes, I would say it is mandatory if you are interested in the subject.
Nevertheless, it misses more indepth treatment of non-linear models (precisely what the book is all about). The authors spent too much time on elaborating a comprehensive chapter on linear models when it was sufficient to cite a few references in case the reader wasn't familiar with the required background.
Some demonstrations and explanations were left uncovered which means that you will have to rely on other sources such as Hamilton (1994) to get the whole picture.
This is not a self-teaching guide but one important source in this field.

nice coverage if non-linear time series.......2002-04-26

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.

A Long-Awaited Update To Granger and Terasvirta's Book ........2002-01-18

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.

A Long Awaited Update To Granger and Temasvirta's Book.......2002-01-18

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.

Product Description

This is the skills assessment for the comprehensive new training program takes the approach that coaching is a series of skills to be mastered. The 12 skill modules can be facilitated individually or grouped in a flexible one-day or two-and-a-half day workshop. Participants will Get valuable feedback on their coaching strengths and weaknesses by using the Coaching Skills Assessment Learn to apply a useful four-step modelget agreement, seek solution, follow up, and give recognition Master 12 coaching competencies including goal setting, delegation, giving feedback, mentoring, and more Coaching for Results workshop includes Leaders Guide Participant Workbook Coaching Skills Assessment Instrument Lesson plans and transparency masters Handouts for experiential skill-building activities Workshop / CodeCFR / $99.95 Participant Workbook / CodeCFRPW / Pack of 5/ $74.75 Coaching Skills Assessment / CodeCFRCS / Pack of 10/ $29.50

Book Description

Want to know where in New Jersey you can go fossil hunting? How about cranberry harvesting? Perhaps you'd like to find the most accessible Garden State fishing areas for people with disabilities? Or maybe you've just been wondering how Double Trouble State Park got its name?

Now in its third edition, this updated guide—the first of its kind for New Jersey—lists over 250 parks, forests, and natural areas in the Garden State, from national, state, city, and county parks to nature preserves run by nonprofit groups, arboretums, and undeveloped wildlife management areas. Wherever you live in New Jersey, you can find a beautiful place nearby for picnicking, hiking, camping, hunting, fishing, boating, and a host of other outdoor activities. All are open to the public, and most are free or charge only a small fee. Michael P. Brown divides the state into six regions along county lines and includes helpful maps, so outdoor enthusiasts can easily plan excursions.

For each park, the guide provides up-to-date, practical information about locations, phone numbers, fees, hours, seasons, acreage, regulations, handicap access, special facilities and activities, campsites, swimming and boat launching sites, restrooms, playgrounds and picnic sites, hunting and fishing, and hiking. This edition also includes broadened coverage of mountain biking and horseback riding.

Customer Reviews:

A Very Practical Reference for NJ Natural Areas.......2001-08-16

This books lists almost 250 parks, forests and other natural areas throughout the state of NJ and describes the recreational activities and facilities at each. Activities include fishing, boating, hunting, picnicing, camping, swimming and more. Also included are phone numbers for administrative offices and town recreational departments. The book is nicely organized by county regions and although no maps are included, directions for each area from a major highway are outlined.

Average customer rating:

must have!!!

Cool anectodes but fairly useless for learning driving techniques

Great book for those of us who will never see F1

Stories about the good old days.

Save your money for a pepperoni pizza

Bob Bondurant on High Performance Driving
Bob Bondurant
Manufacturer: Motorbooks
ProductGroup: Book
Binding: Paperback

Racing | Automotive | Nonfiction | Subjects | Books
General | Automotive | Nonfiction | Subjects | Books
General | Transportation | Nonfiction | Subjects | Books
Motor Sports | Miscellaneous | Sports | Subjects | Books
General | Sports | Subjects | Books
Similar Items:

Speed Secrets: Professional Race Driving Techniques (Speed Secrets)

Going Faster! Mastering the Art of Race Driving

Secrets of Solo Racing: Expert Techniques for Autocrossing and Time Trials

Speed Secrets II: More Professional Race Driving Techniques (Speed Secrets)

Skip Barber - Going Faster

ASIN: 0760315507

Book Description

The fifth edition (first time in color) of the popular and long-running primer on high-performance street and race track driving from top driver and driving instructor Bob Bondurant. This new edition is updated to include the latest information from Bondurant's school and will appear with a fresh new, all-color design.

Customer Reviews:

must have!!!.......2007-06-27

if u really want to start out on hi-per driving u must get this one above all!!!

Cool anectodes but fairly useless for learning driving techniques.......2005-12-27

I've read a lot of books about Performance driving/racing techniques lately and I have to say that this one pretty much ranks at the bottom.
It is a well written biography about Bondurants life (a whole chapter in the book, and intersperced throughout the text), but lacks on much useful information on driving and racing techniques. After reading a lot of other books on this topic I feel that this one is fairly light on actual information and driving techniques in comparison. It is more up to date though than some books written on this topic. I would probably recommend Carl Lopez'/Skip Barber's book "Going Faster" Or Piero Taruffi's book "The technique of Motor Racing(Driving)" and similar titles over Bondurant's book. It does make a quick read and an introduction to the sport though.

Great book for those of us who will never see F1.......2004-11-02

It has been a while since I read this book, but I disagree with those who only see it as a plug for Bondurant's racing school. This is a well-written explanation of vehicle dynamics, and contains a wealth of information that is useful in everyday driving. I have tried to apply what I learned from this book in various low-buck automotive sport competitions, and frankly I just don't have what it takes to excel in motorsports. I do appreciate, however, Bondurant's efforts to explain everything from seating position, to how to place your hand on the sift knob, to proper line through the corner to gain the fastest exit speed. I believe reading this book has been at least as much benefit to my every day driving skill as the mega-buck 3-day race car driving school I took a few years back.

Stories about the good old days........2001-08-31

If you want to read some poorly organized stories about Bob's
good old racing days, this might be the book for you. If you
want to learn to drive quickly, this book will disappoint you.

Save your money for a pepperoni pizza.......2001-04-30

I bought this book because I wanted to learn more about high performance driving without the cost of going to a school, but roughly half of this book is just advertisement of Bob's driving school in Southern California. For example, on controlling skids, he talks very little about how to get out of a skid and then he begins on how you can learn more if you come to his driving school because the school has such and such equipments. There's even an entire chapter dedicated to how to graduate from his driving school. He also seems to be obssessed with his past glory, which he doesn't mind spending time to talk about. DON'T WASTE YOUR MONEY ON THIS PIECE OF GARBAGE.

Bob Bondurant on High Performance Driving

Average customer rating:

Bob Bondurant on High Performance Driving

Manufacturer: Motorbooks International
ProductGroup: Book
Binding: Paperback
ASIN: B000E1EPEC

Hitting the fast track.(Bob Bondurant School of High Performance Driving): An article from: Chief Executive (U.S.)

Average customer rating:

Hitting the fast track.(Bob Bondurant School of High Performance Driving): An article from: Chief Executive (U.S.)
Scott Henjum
Manufacturer: Chief Executive Publishing
ProductGroup: Book
Binding: Digital

General | Business & Investing | Subjects | Books

Management | Management & Leadership | Business & Investing | Subjects | Books

Book Description

This digital document is an article from Chief Executive (U.S.), published by Chief Executive Publishing on July 1, 2003. The length of the article is 1531 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: Hitting the fast track.(Bob Bondurant School of High Performance Driving)
Author: Scott Henjum
Publication: Chief Executive (U.S.) (Magazine/Journal)
Date: July 1, 2003
Publisher: Chief Executive Publishing
Issue: 190 Page: 58(3)

Distributed by Thomson Gale

Average customer rating:

Bob Bondurant on High Performance Driving
Bob Bondurant
Manufacturer: MOTORBOOKS INTERNATIONAL
ProductGroup: Book
Binding: Paperback
ASIN: B000PUSIAE

High Performance Driving Completely Revised & Updated With new Technology For The 1990's

Average customer rating:

High Performance Driving Completely Revised & Updated With new Technology For The 1990's
John Blakemore Bondurant Bob
Manufacturer: Motorbooks International
ProductGroup: Book
Binding: Paperback
ASIN: B000UCVF6Q

signed copy of Bob Bondurat on High Performance Driving

Average customer rating:

signed copy of Bob Bondurat on High Performance Driving
Bob Bondurant & John Blakemore
Manufacturer: MRP
ProductGroup: Book
Binding: Paperback
ASIN: B000NU4206

Book Description

Handy volume lets you communicate instantly on topics related to travel, health and medical situations, more. Includes pronunciation guide.

Customer Reviews:

Excellent!.......2007-05-15

Taking a 10 week Russian language class and found this book very helpful with the at home learning process.

Wonderful Introduction.......2007-02-07

I have never read most of these authors and each story was as enthralling as the previuos one. I had a great time using the Russian side of the book and trying to read out the words. Fabulous having the orginal language next to the English translation. A bit hard for beginner readers, but worth a shot.

Easy Russian Phrase Book: Over 690 Basic Phrases for Everyday Use (Dover Easy Phrase Books).......2007-01-12

Arrived quickly,in great condition

If you're going to go through the trouble of buying a book.........2003-10-28

Why not buy one that's worthwhile? I bought this and it's worth what it costs, i.e. not much. Spend a few more bucks and get the Lonely Planet Russian Phrasebook. It has a small dictionary, lots of phrases and traveling info.

I can't even give it two stars for being so cheap. Don't waste your time.

fun and funny little book........2002-07-08

If you can read Cyrillic, and know basics of pronounciation and a little grammar, this book is great! A fellow reviewer commented that you can't lose by buying a book for $1.50 or $2.00, and I agree, as long as you fulfill the few basic conditions above.

This book is packed with "690 basic phrases for everyday use." There's very short mundane and useful phrases like "Please speak slowly", "I am an engineer", "Wait a moment!", "Please show me the way --", "Send my regards to your aunt and uncle" to longer, more useless phrases like "You indicate the amount of insurance on the form. What does it contain?" (Useless unless you work in the Russian insurance business, of course.)

Each phrase is written in English, cyrillic, and then a phonetic english representation of the cyrillic. It's not too bad, if you follow just the phonetic representations, but preferably you should go pick up some pronounciation from a recording or a friend or a teacher who speaks russian.

When you're at the stage of knowing a little Russian, having a small book like this to read through helps build vocabulary and idiomatic knowledge.

Caveat Emptor: it's totally worthless by itself! The inside of the book says that this was originally a manual accompanying a Dover recording called "Listen & Learn Russian." Of course, leave it to Dover to squeeze a buck out of a now-defunct recording.

Book Description

Los enemigos del Equipo Bond están en todas partes; en el mundo exterior y en los pasillos de la escuela donde la competencia es terrible.

Caos desafía de nuevo al Equipo Bond. La amenaza de esa poderosa organización criminal es la peor pesadilla de los habitantes de la Tierra y el enemigo más temible de ese audaz equipo de jóvenes agentes. ¿O quizá no?

Para conseguir un puesto de honor entre los profesionales del espionaje que han pasado por la academia Jonathan Deveraux, los componentes del grupo Bond deben luchar y vencer sus propios miedos, demostrar más rapidez y valor que los demás grupos de la escuela y vigilar de cerca al Equipo Solo, capaz de cualquier estrategia para arrebatarles el primer puesto.

Para esta misión Lori, Cally, Jennifer y sus compañeros trabajarán codo con codo contra las armas de última generación que manejan los terroristas y vigilarán de cerca al equipo rival que les pisa los talones. El prestigioso premio Sherlock aguarda en las vitrinas al mejor equipo de espías de la escuela.

¿Quién será el ganador este año?

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