Nonlinear Modeling of Economic and Financial Time-Series
Fredj Jawadi, William A. Barnett
Emerald Group Publishing, Dec 17, 2010 - Business & Economics - 211 pages
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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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
An Empirical Analysis
Some New Evidence Using Linear and Nonlinear Models
A TwoStep Approach
Chapter 8 Alternative Methods for Forecasting GDP
Chapter 9 GARCH Models with CPPI Application
Other editions - View all
adjustment analysis Archimedean copula asset returns asymptotic autocorrelation autoregressive bond indices Canada causality Cause HFRX MACRO chapter coefficient cointegrating vector cointegration cointegration relationship comovements copula correlation countries CPPI crises denote dependence structure Descriptive Statistics distribution dynamics econometric economic indicators emerging markets empirical Equation error correction estimate euro European exchange rate financial crisis forecasting France function Gaussian Germany global macro hedge government bond Granger Cause Granger Cause HFRX growth hedge fund returns housing wealth housing wealth-to-income investors Japan Jawadi Johansen Journal JPM EMBI Global kendall Kurtosis labor income lagged linear log return long-run long-term macro hedge funds macroeconomic marginal distributions multiple multivariate nonlinear nonparametric null hypothesis oil price parameters Partial Autocorrelations portfolio predictive quantile ratio realignment expectations regimes regressions rejected risk S&P IFCI shocks significant statistics stock market stock returns Table theoretical trade unit root VECM vector autoregression volatility