Nonlinear modeling of economic and financial time-series
著者
書誌事項
Nonlinear modeling of economic and financial time-series
(International symposia in economic theory and econometrics, v. 20)
Emerald, 2010
大学図書館所蔵 全6件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
  スイス
  フランス
  ベルギー
  オランダ
  スウェーデン
  ノルウェー
  アメリカ
注記
Includes bibliographical references
内容説明・目次
内容説明
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.
目次
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.
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