Nonlinear modeling of economic and financial time-series

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...

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Bibliographic Details
Other Authors: Jawadi, Fredj., Barnett, William A.
Format: Electronic
Language: English
Published: Bingley, U.K. : Emerald, 2010.
Series: International symposia in economic theory and econometrics ; 20.
Subjects:
Business & Economics > Econometrics.
Business & Economics > Economics > Theory.
Economic theory & philosophy.
Econometrics.
Econometric models.
Time-series analysis.
elektronické knihy
electronic books
ISBN: 9780857244901 (electronic bk.) :
Physical Description: 1 online resource (xvii, 205 p.) : ill.

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Table of contents

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020 |a 9780857244901 (electronic bk.) :  |c £62.95 ; €89.95 ; $114.95 
040 |a UtOrBLW  |c UtOrBLW 
080 |a 330.4 
245 0 0 |a Nonlinear modeling of economic and financial time-series  |h [electronic resource] /  |c edited by Fredj Jawadi, William A. Barnett. 
260 |a Bingley, U.K. :  |b Emerald,  |c 2010. 
300 |a 1 online resource (xvii, 205 p.) :  |b ill. 
490 1 |a International symposia in economic theory and econometrics,  |x 1571-0386 ;  |v 20 
505 0 |a Introduction / Fredj Jawadi, William A. Barnett -- ch. 1. Collateralizable wealth, asset returns, and systemic risk : international evidence / Ricardo M. Sousa -- ch. 2. Nonlinear stock market links between Mexico and the world / Mohamed El Hedi Arouri, Fredj Jawadi -- ch. 3. Dynamic linkages between global macro hedge funds and traditional financial assets / Wafa Kammoun Masmoudi -- ch. 4. Copula theory applied to hedge funds dependence structure determination / Rania Hentati, Jean-Luc Prigent -- ch. 5. European exchange rate credibility : an empirical analysis / Iuliana Matei -- ch. 6. Oil prices and exchange rates : some new evidence using linear and nonlinear models / Mohamed El Hedi Arouri, Fredj Jawadi -- ch. 7. Sources of European growth externalities : a two-step approach / Sébastien Pommier, Fabien Rondeau -- ch. 8. Alternative methods for forecasting GDP / Dominique Guégan, Patrick Rakotomarolahy -- ch. 9. GARCH models with CPPI application / Hachmi Ben Ameur. 
520 |a 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. 
588 0 |a Print version record 
650 7 |a Business & Economics  |x Econometrics.  |2 bisacsh 
650 7 |a Business & Economics  |x Economics  |x Theory.  |2 bisacsh 
650 7 |a Economic theory & philosophy.  |2 bicssc 
650 7 |a Econometrics.  |2 bicssc 
650 0 |a Econometric models. 
650 0 |a Time-series analysis. 
655 7 |a elektronické knihy  |7 fd186907  |2 czenas 
655 9 |a electronic books  |2 eczenas 
700 1 |a Jawadi, Fredj. 
700 1 |a Barnett, William A. 
776 1 |z 9780857244895 
830 0 |a International symposia in economic theory and econometrics ;  |v 20. 
856 4 0 |u https://proxy.k.utb.cz/login?url=https://doi.org/10.1108/S1571-0386(2010)20  |y Full text 

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