Recent Developments In Nonlinear Cointegration With Applications To Macroeconomics And Finance
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Recent Developments In Nonlinear Cointegration With Applications To Macroeconomics And Finance
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Author : Gilles Dufrénot
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Recent Developments In Nonlinear Cointegration With Applications To Macroeconomics And Finance written by Gilles Dufrénot and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
This book is an introductory exposition of different topics that emerged in the literature as unifying themes between two fields of econometrics of time series, namely nonlinearity and nonstationarity. Papers on these topics have exploded over the last two decades, but they are rarely ex amined together. There is, undoubtedly, a variety of arguments that justify such a separation. But there are also good reasons that motivate their combination. People who are reluctant to a combined analysis might argue that nonlinearity and nonstationarity enhance non-trivial problems, so their combination does not stimulate interest in regard to plausibly increased difficulties. This argument can, however, be balanced by other ones of an economic nature. A predominant idea, today, is that a nonstationary series exhibits persistent deviations from its long-run components (either deterministic or stochastic trends). These persistent deviations are modelized in various ways: unit root models, fractionally integrated processes, models with shifts in the time trend, etc. However, there are many other behaviors inherent to nonstationary processes, that are not reflected in linear models. For instance, economic variables with mixture distributions, or processes that are state-dependent, undergo episodes of changing dynamics. In models with multiple long-run equi libria, the moving from an equilibrium to another sometimes implies hys teresis. Also, it is known that certain shocks can change the economic fundamentals, thereby reducing the possibility that an initial position is re-established after a shock (irreversibility).
Recent Developments In Nonlinear Cointegration With Applications To Macroeconomics And Finance
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Author : Gilles Dufrenot
language : en
Publisher:
Release Date : 2014-09-01
Recent Developments In Nonlinear Cointegration With Applications To Macroeconomics And Finance written by Gilles Dufrenot and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-09-01 with categories.
Recent Econometric Techniques For Macroeconomic And Financial Data
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Author : Gilles Dufrénot
language : en
Publisher: Springer Nature
Release Date : 2020-11-21
Recent Econometric Techniques For Macroeconomic And Financial Data written by Gilles Dufrénot and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-11-21 with Business & Economics categories.
The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models. The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.
Recent Developments In Nonlinear Cointegration With Applications To Macroeconomics And Finance
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Author : Gilles Dufrénot
language : en
Publisher: Springer Science & Business Media
Release Date : 2002-04-30
Recent Developments In Nonlinear Cointegration With Applications To Macroeconomics And Finance written by Gilles Dufrénot and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-04-30 with Business & Economics categories.
This book provides new insights on nonlinear cointegration and error correction models. It seeks to bring together recent developments on the subject that are, up until today, scattered throughout the literature. The authors demonstrate the importance of NECM models for studying partial adjustment problems in macroeconomics and the efficient market hypothesis in finance. Even though papers on nonlinear cointegration are numerous a survey can still be made on the topic. This book is accessible to a large audience that includes academics working on applied econometrics, practitioners of financial markets and econometric modelling and all persons interested in time series analysis.
Nonlinear Financial Econometrics Markov Switching Models Persistence And Nonlinear Cointegration
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Author : Greg N. Gregoriou
language : en
Publisher: Springer
Release Date : 2010-12-08
Nonlinear Financial Econometrics Markov Switching Models Persistence And Nonlinear Cointegration written by Greg N. Gregoriou and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-08 with Business & Economics categories.
This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.
The Dynamics Of Emerging Stock Markets
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Author : Mohamed El Hedi Arouri
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-12-24
The Dynamics Of Emerging Stock Markets written by Mohamed El Hedi Arouri and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-24 with Business & Economics categories.
Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets has been particularly challenged by their fast changes in nature and size under the effects of financial liberalization and reforms. This evolving feature has particularly led to a commensurate increase in sophistication of modeling techniques used for understanding financial markets. In this spirit, the book aims at providing the audience a comprehensive understanding of emerging stock markets 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. On the other hand, it presents and discusses new research findings and their implications.
The Evolving Role Of Asia In Global Finance
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Author : Yin-Wong Cheung
language : en
Publisher: Emerald Group Publishing
Release Date : 2011-03-10
The Evolving Role Of Asia In Global Finance written by Yin-Wong Cheung and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-10 with Business & Economics categories.
The process of Asia's rise to a position of eminence in global finance has accelerated in the wake of the international financial crisis. This volume intends to explore and understand the dynamics created by this process of transition.
Fifth European Workshop On Structural Health Monitoring 2010
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Author : Fabio Casciati
language : en
Publisher: DEStech Publications, Inc
Release Date : 2010
Fifth European Workshop On Structural Health Monitoring 2010 written by Fabio Casciati and has been published by DEStech Publications, Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Technology & Engineering categories.
Principles Of Econometrics
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Author : Valérie Mignon
language : en
Publisher: Springer Nature
Release Date : 2024-03-07
Principles Of Econometrics written by Valérie Mignon and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-03-07 with Business & Economics categories.
This textbook teaches the basics of econometrics and focuses on the acquisition of methods and skills that are essential for any student to succeed in their studies, as well as for any practitioner interested in applying econometric techniques. Employing a pedagogical and easy-to-follow style, the book puts into practice the various concepts presented, such as statistics, tests, and methods, among others. Numerous examples and empirical applications using existing econometric and statistical software are given after each theoretical presentation. The book addresses students at the undergraduate and graduate levels in economics and management, as well as students of engineering and business schools. It will further appeal to professionals and practitioners of econometrics, such as economists and researchers in companies and institutions, who will find practical solutions to the different problems they are confronted with.
The Oxford Handbook Of Applied Nonparametric And Semiparametric Econometrics And Statistics
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Author : Jeffrey Racine
language : en
Publisher: Oxford University Press
Release Date : 2014-04
The Oxford Handbook Of Applied Nonparametric And Semiparametric Econometrics And Statistics written by Jeffrey Racine and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-04 with Business & Economics categories.
This volume, edited by Jeffrey Racine, Liangjun Su, and Aman Ullah, contains the latest research on nonparametric and semiparametric econometrics and statistics. Chapters by leading international econometricians and statisticians highlight the interface between econometrics and statistical methods for nonparametric and semiparametric procedures.