Nonlinear Modeling of Economic and Financial Time-Series

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Fredj Jawadi, William A. Barnett
Emerald Group Publishing, Dec 17, 2010 - Business & Economics - 211 pages
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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.
 

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Contents

International Evidence
1
Chapter 2 Nonlinear Stock Market Links between Mexico and the World
29
Chapter 3 Dynamic Linkages between Global Macro Hedge Funds and Traditional Financial Assets
41
Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination
83
An Empirical Analysis
111
Some New Evidence Using Linear and Nonlinear Models
121
A TwoStep Approach
143
Chapter 8 Alternative Methods for Forecasting GDP
161
Chapter 9 GARCH Models with CPPI Application
187
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About the author (2010)

Paul A. Samuelson is Professor Emeritus of Economics and Institute Professor Emeritus at the Massachusetts Institute of Technology. In 1970 he became the first American to win the Nobel Prize in Economics. His landmark 1947 book, "Foundations of Economic Analysis," based upon his Ph.D. dissertation at Harvard University, established him as "the economists' economist" by raising the standards of the entire profession. Paul Samuelson's classic textbook, "Economics," first published in 1948, is among the most successful textbooks ever published in the field.

William A. Barnett is Oswald Distinguished Professor of Macroeconomics at the University of Kansas. He is Editor of the monograph series International "Symposia in Economic Theory and Econometrics," and Editor of the journal, "Macroeconomic Dynamics," He has published 17 books and over 130 articles in professional journals.

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