Nonlinear Time Series Analysis of Economic and Financial Data

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Philip Rothman
Springer Science & Business Media, Jan 31, 1999 - Business & Economics - 373 pages
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Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.
 

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Contents

BUSINESS CYCLE TURNING POINTS TWO EMPIRICAL BUSINESS CYCLE MODEL APPROACHES
1
A MARKOV SWITCHING COOKBOOK
33
A REANALYSIS OF THE SPECTRAL PROPERTIES OF SOME ECONOMIC AND FINANCIAL TIME SERIES
45
NONLINEAR ECONOMETRIC MODELLING A SELECTIVE REVIEW
87
UNITROOT TESTS AND EXCESS RETURNS
111
ON THE INHERENT NONLINEARITY OF FREQUENCY DEPENDENT TIME SERIES RELATIONSHIPS
129
STATIONARITY TESTS WITH MULTIPLE ENDOGENIZED BREAKS
143
NONLINEAR EVOLUTION IN UK STOCK RETURNS AND VOLUME
165
ASYMMETRIC NONLINEAR SMOOTH TRANSITION GARCH MODELS
191
TESTING THE PRESENT VALUE HYPOTHESIS FROM A VECTOR AUTOREGRESSION WITH STOCHASTIC REGIME SWITCHING
209
BUSINESS CYCLE DYNAMICS PREDICTING TRANSITIONS WITH MACROVARIABLES
231
SEARCHING FOR THE SOURCES OF ARCH BEHAVIOR TESTING THE MIXTURE OF DISTRIBUTIONS MODEL
267
IMPROVED TESTING AND SPECIFICATION OF SMOOTH TRANSITION REGRESSION MODELS
289
SPECULATIVE BEHAVIOR REGIMESWITCHING AND STOCK MARKET CRASHES
321
HIGHERORDER RESIDUAL ANALYSIS FOR SIMPLE BILINEAR AND THRESHOLD AUTOREGRESSIVE MODELS WITH THE TR TEST
357
Index
369

NONLINEAR ADJUSTMENT TOWARDS LONGRUN MONEY DEMAND
179

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Page 355 - Finite bubbles with short sale constraints and asymmetric information.

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About the author (1999)

Rothman, East Carolina University, Greenville, NC, USA.

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