Philip Hans Franses
and Dick van Dijk
Non-Linear Time Series Models in Empirical Finance
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.
1. Introduction; 2. Some concepts in Time Series analysis; 3. Regime-switching models for returns; 4. Regime-Switching models for Volatility; 5. Artificial neural networks for returns; 6. Conclusion.
0 521 77041 6 Hardback
0 521 77965 0 Paperback
Edited by William A. Barnett
Carl Chiarella
Steve Keen
Robert Marks
and Hermann Schnabl
Commerce, Complexity, and Evolution
Topics in Economics, Finance, Marketing, and Management:
Proceedings of the Twelfth International Symposium in Economic
Theory and Econometrics
Commerce, Complexity, and Evolution is a significant contribution to the new paradigm - straddling economics, finance, marketing, and management - which acknowledges that commercial systems are evolutionary, and must therefore be analysed using evolutionary tools. Evolutionary systems display complicated behaviours which are to a significant degree generated endogenously, rather than being solely the product of exogenous shocks, hence the conjunction of complexity with evolution. This volume considers a wide range of systems, from the entire economy at one extreme to the behaviour of single markets at the other. The papers are united by methodologies which at their core are evolutionary, though the techniques cover a wide range, from philosophical discourse to differential equations, genetic algorithms, multi-agent simulations and cellular automata. Issues considered include the dynamics of debt-deflation, stock management in a complex environment, interactions between consumers and its effect upon market bahaviour, and nonlinear methods to profit from financial market volatility.
0 521 62030 9 Hardcover
Engelbert Dockner
Steffen Jorgensen
Ngo Van Long
and Gerhard Sorger
Differential Games in Economics and Management Science
A comprehensive, self-contained survey of the theory and applications of differential games, one of the most commonly used tools for modelling and analysing economics and management problems which are characterised by both multiperiod and strategic decision making. Although no prior knowledge of game theory is required, a basic knowledege of linear algebra, ordinary differential equations, mathematical programming and probability theory is necessary. Part One presents the theory of differential games, starting with the basic concepts of game theory and going on to cover control theoretic models, markovian equilibria with simultaneous play, differential games with hierarchical play, trigger strategy equilbria, differential games with special structures, and stochastic differential games. Part Two offers applications to capital accumulation games, industrial organization and oligopoly games, marketing, resources and environmental economics.
0 521 63125 4 Hardcover
0 521 63732 5 Paperback
Edited by Paul Marriott
and Mark Salmon
Applications of Differential Geometry to Econometrics
Although geometry has always aided intuition in econometrics, it is only recently that Differential Geometry has become a standard tool in the analysis of statistical models, offering a deeper appreciation of existing methodologies and highlighting the essential issues which can be hidden in an algebraic development of a problem. This volume is the first to apply these techniques to econometrics. An introductory chapter provides a brief tutorial for those unfamiliar with the tools of Differential Geometry. The topics covered in the following chapters demonstrate the power of the geometric method to provide practical solutions and insight into problems of econometric inference.
Introduction P. Marriott and M. Salmon; 1. An introduction to differential geometry P. Marriott and M. Salmon; 2. Orthogonal projection, nested models and encompassing Maozu Lu and G. Mizon; 3. Exact properties of the maximum likelihood estimator in exponential regression models G. Hillier and R. O'Brien; 4. Empirical likelihood estimation and inference R. Smith; 5. Measuring earnings differentials with frontier functions and Rao distances U. Jensen; 6. First order predictive densities J. M. Corcuera and F. Giummole; 7. An alternative comparisom of classical tests: assessing the effects of curvature K. J. van Garderen; 8. Testing for unit roots in AR and MA Models T. Rothenberg; 9. Efficiency and robustness in a geometrical perspective R. Davidson; 10. Paramaterisations and transformations; An elementary introduction to Amari痴 differential geometry F. Critchley, P. Marriott and M. Salmon.
0 521 65116 6 Hardcover
Carl Sagan's Cosmic Connection
An Extraterrestrial Perspective
In 1973, Carl Sagan published The Cosmic Connection, a daring view of the universe, which rapidly became a classic work of popular science and inspired a generation of scientists and enthusiasts. This seminal work is reproduced here for a whole new generation to enjoy. In Sagan's typically lucid, lyrical style, he discusses many topics from astrophysics and solar system science, to colonization of other worlds, terraforming and the search for extraterrestrials. Sagan conveys his own excitement and wonder, and relates the revelations of astronomy to the most profound human problems and concerns: issues that are just as valid today as they were 30 years ago. New to this edition are Freeman Dyson's comments on Sagan 'svision and the importance of the work, Ann Druyan 'sassessment of Sagan 'scultural significance as a champion of science, and David Morrison's discussion of the advances made since 1973 and what became of Sagan's predictions.
0 521 78303 8 Hardcover
Global Attractors in Abstract Parabolic Problems
The study of dissipative equations is an area that has attracted substantial attention over many years. Much progress has been achieved using a combination of both finite dimensional and infinite dimensional techniques, and in this book the authors exploit these same ideas to investigate the asymptotic behaviour of dynamical systems corresponding to parabolic equations. In particular the theory of global attractors is presented in detail. Extensive auxiliary material and rich references make this self-contained book suitable as an introduction for graduate students, and experts from other areas, who wish to enter this field.
1. Preliminary concepts; 2. The abstract Cauchy problem; 3. Semigroups of global solutions; 4. Construction of the global attractor; 5. Application of abstract results to parabolic problems; 6. Examples of global attractors in parabolic problems; 7. Backward uniqueness and regularity of solutions; 8. Extensions; Appendix.
London Mathematical Society Lecture Note Series, 278
0 521 79424 2 Paperback