Nonlinear Modeling of Economic and Financial Time-Series
Emerald Group Publishing Limited (Verlag)
978-0-85724-489-5 (ISBN)
Within the subprime crisis (2007) and the recent global financial crisis of 2008-2009, we have observed significant decline, corrections and structural changes in most US and European financial markets. Furthermore, it seems that this crisis has been rapidly transmitted toward the most developed and emerging countries and has strongly affected the whole economy. This volume aims to present recent researches in linear and nonlinear modelling of economic and financial time-series. The several discussions of empirical results of its chapters clearly help to improve the understanding of the financial mechanisms inherent to this crisis. They also yield an important overview on the sources of the financial crisis and its main economic and financial consequences. The book provides the audience a comprehensive understanding of financial and economic dynamics in various aspects using modern financial econometric methods. It addresses the empirical techniques needed by economic agents to analyze the dynamics of these markets and illustrates how they can be applied to the actual data. It also presents and discusses new research findings and their implications.
List of Contributors.
Editorial Advisory Board Members.
About the Series.
Introduction.
Chapter 1 Collateralizable Wealth, Asset Returns, and Systemic Risk: International Evidence.
Chapter 2 Nonlinear Stock Market Links between Mexico and the World.
Chapter 3 Dynamic Linkages between Global Macro Hedge Funds and Traditional Financial Assets.
Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination.
Chapter 5 European Exchange Rate Credibility: An Empirical Analysis.
Chapter 6 Oil Prices and Exchange Rates: Some New Evidence Using Linear and Nonlinear Models.
Chapter 7 Sources of European Growth Externalities: A Two-Step Approach.
Chapter 8 Alternative Methods for Forecasting GDP.
Chapter 9 GARCH Models with CPPI Application.
International Symposia in Economic Theory and Econometrics.
International Symposia in Economic Theory and Econometrics.
Copyright page.
Erscheint lt. Verlag | 17.12.2010 |
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Reihe/Serie | International Symposia in Economic Theory and Econometrics |
Mitarbeit |
Herausgeber (Serie): William A. Barnett |
Verlagsort | Bingley |
Sprache | englisch |
Maße | 156 x 234 mm |
Gewicht | 458 g |
Themenwelt | Wirtschaft ► Allgemeines / Lexika |
Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie | |
ISBN-10 | 0-85724-489-2 / 0857244892 |
ISBN-13 | 978-0-85724-489-5 / 9780857244895 |
Zustand | Neuware |
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