System dynamics in economic and financial models:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Chichester u.a.
Wiley
1997
|
| Schriftenreihe: | Series in financial economics and quantitative analysis
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXVI, 372 S. graph. Darst. |
| ISBN: | 0471969346 |
Internformat
MARC
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents List of Contributors ix
Series Preface xiii
Editors Preface xv
Introduction, C. Heij, J.M. Schumacher, B. Hanzon and C. Praagman xvii
1 The Purposes of this Book xvii
2 Some of the Background xviii
3 Outline of the Book xxii
References xxv
SECTION 1: NON LINEAR DYNAMICS IN ECONOMIC AND
FINANCIAL MODELS 1
1 Models of Complexity in Economics and Finance, W.A. Brock
and C.H. Hommes 3
1.1 Introduction 3
1.2 Adaptive Beliefs in the Simple Mean Variance Framework 7
1.3 Some Adaptive Belief Systems 11
1.4 An Empirical Exercise Suggested by the Evolutionary Theory 25
1.5 Conclusions 31
Comments, F. Takens and H. Nijmeijer 34
Replies, W.A. Brock and C.H. Hommes 38
References 42
2 Non linear Dynamics and Predictability in the Austrian Stock
Market, E.J. Dockner, A. Prskawetz, G. Feichtinger 45
2.1 Introduction 45
2.2 Statistical Techniques for Analysing Non linearities in Stock
Market Data 49
2.3 Univariate Time Series Models for Austrian Stock Market Data 51
vi Contents
2.4 A Nearest neighbour Approach to Forecast Non linear Time
Series 54
2.5 Non linear Forecasts for Austrian Stock Market Returns 58
2.6 Conclusions 62
Comments, D.S.G. Pollock, J.C. Engwerda and H. Nijmeijer 63
Replies, E.J. Dockner, A. Prskawetz and G. Feichtinger 70
References 72
3 Predictability and Economic Time Series, P. Ormerod and
M. Campbell 73
3.1 Introduction 73
3.2 Singular Spectrum Analysis 75
3.3 Applications of SSA to US and UK Quarterly GDP Data 82
3.4 Conclusion 87
Comments, F.C. Palm, C.H. Hommes, A.H.Q.M. Merkies and P.C. Young 90
Replies, P. Ormerod and M. Campbell 100
References 104
SECTION 2: NON LINEARITIES IN EMPIRICAL MODELLING 107
4 Smooth Transition Models, T. Terasvirta 109
4.1 Introduction 109
4.2 Smooth Transition Regression Model 110
4.3 Testing Linearity against Smooth Transition Regression 113
4.4 Inference in Smooth Transition Regression Models 116
4.5 Application of Tests 117
4.6 Examples 118
4.7 Conclusions 123
Comments, M. Basseville, D. van Dijk, P.H.B.F. Franses and M. Campbell 124
Replies, T. Terasvirta 130
References 134
5 Empirical Behaviour of Interest rate Models, J.M. Moraleda and
A.C.F. Vorst 137
5.1 Introduction 137
5.2 The Models 140
5.3 The Data 146
5.4 The Methodology for the Estimation of the Volatility Functions 148
5.5 Results 151
5.6 Conclusions 159
Comment, M.H.A. Davis 162
Contents vii
Reply, J.M. Moraleda and A.C.F. Vorst 164
References 166
6 Data based Mechanistic Modelling, P.C. Young and D.J. Pedregal 169
6.1 Introduction 169
6.2 Data based Mechanistic Modelling 171
6.3 Exploring the Relationship between Unemployment, Investment
and GNP in the USA 1948(2) to 1988(2) 181
6.4 Discussion 193
6.5 Conclusions 195
Comments, T. Kloek and J.C. Engwerda 199
Replies, P.C. Young and D.J. Pedregal 204
References 211
SECTION 3: TRENDS AND NON STATIONARITY 215
7 Cointegration Analysis, H.J. Bierens 217
7.1 Introduction 217
7.2 Introduction to Cointegration 221
7.3 The Error Correction Form of a Cointegrated System 223
7.4 Johansen s Maximum Likelihood Approach 224
7.5 Non parametric Cointegration Analysis 228
7.6 An Empirical Example 234
Comments, R. Tschernig, M. Deistler and M. Wagner 239
Reply, H.J. Bierens 244
References 245
8 The Relationship between Money and Prices: An Econometric
Appraisal Based on Cointegration and Causality, M. Funke, S.G.
Hall and M. Beeby 247
8.1 Introduction 247
8.2 The Derivation of the p* Model and Cointegration 248
8.3 The Economic and Statistical Framework 249
8.4 An Empirical Investigation for the UK 254
8.5 The Analysis for Germany 255
8.6 An Analysis of a Changing Causal Structure 257
8.7 Conclusion 261
Comment, P.H.B.F. Franses 263
Reply, M. Funke, S.G. Hall and M. Beeby 266
References 267
viii Contents
9 Multivariate Structural Time Series Models, A.C. Harvey and
S.J. Koopman 269
9.1 Introduction 269
9.2 Univariate Structural Time Series Models 270
9.3 Multivariate Models 271
9.4 Common Trends and Cointegration 273
9.5 Seasonals, Cycles and Explanatory Variables 278
9.6 ATestbed Example: Minks and Muskrats 279
9.7 Economic Applications 281
9.8 Detrending 285
Comments, J.C. Engwerda, H. Liitkepohl, P.C. Young and D.J. Pedregal 286
Replies, A.C. Harvey and S. J. Koopman 294
References 297
10 Impulse Response Analysis of Vector Autoregressive Processes,
H. Lutkepohl and J. Breitung 299
10.1 Introduction 299
10.2 Vector Autoregressive Models 300
10.3 Estimation and Specification of VAR and ECM Forms 305
10.4 An Empirical Application 314
10.5 Conclusions 318
Comment, P.C. Young 321
Reply, H. Lutkepohl and J. Breitung 322
References 324
11 Data Transformations and Detrending in Econometrics, D.S.G.
Pollock 327
11.1 Introduction 327
11.2 The Effects of the Differencing Operator 328
11.3 ARIMA Models and the Differencing Operator 332
11.4 Trend Estimation by Signal Extraction 336
11.5 Model based Methods of Trend Estimation 338
11.6 Trend Estimation by Heuristic Methods 341
11.7 Appendix: Implementing the Filters 347
Comments, I.J. Steyn and M. Ooms 350
Reply, D.S.G. Pollock 357
References 361
Index 363
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| spelling | System dynamics in economic and financial models ed. by Christiaan Heij ... Chichester u.a. Wiley 1997 XXVI, 372 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Series in financial economics and quantitative analysis Bedrijfsfinanciering gtt Dynamische modellen gtt Econometrische modellen gtt Finances - Modèles économétriques ram Modèles économétriques ram Statique et dynamique (sciences sociales) ram Mathematisches Modell Ökonometrisches Modell Econometric models Finance Mathematical models Statics and dynamics (Social sciences) Finanzwirtschaft (DE-588)4017214-4 gnd rswk-swf Wirtschaft (DE-588)4066399-1 gnd rswk-swf Dynamisches Modell (DE-588)4150932-8 gnd rswk-swf (DE-588)1071861417 Konferenzschrift 1995 Oegstgeest gnd-content Wirtschaft (DE-588)4066399-1 s Dynamisches Modell (DE-588)4150932-8 s DE-604 Finanzwirtschaft (DE-588)4017214-4 s Heij, Christiaan Sonstige (DE-588)112801870 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007962938&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | System dynamics in economic and financial models Bedrijfsfinanciering gtt Dynamische modellen gtt Econometrische modellen gtt Finances - Modèles économétriques ram Modèles économétriques ram Statique et dynamique (sciences sociales) ram Mathematisches Modell Ökonometrisches Modell Econometric models Finance Mathematical models Statics and dynamics (Social sciences) Finanzwirtschaft (DE-588)4017214-4 gnd Wirtschaft (DE-588)4066399-1 gnd Dynamisches Modell (DE-588)4150932-8 gnd |
| subject_GND | (DE-588)4017214-4 (DE-588)4066399-1 (DE-588)4150932-8 (DE-588)1071861417 |
| title | System dynamics in economic and financial models |
| title_auth | System dynamics in economic and financial models |
| title_exact_search | System dynamics in economic and financial models |
| title_full | System dynamics in economic and financial models ed. by Christiaan Heij ... |
| title_fullStr | System dynamics in economic and financial models ed. by Christiaan Heij ... |
| title_full_unstemmed | System dynamics in economic and financial models ed. by Christiaan Heij ... |
| title_short | System dynamics in economic and financial models |
| title_sort | system dynamics in economic and financial models |
| topic | Bedrijfsfinanciering gtt Dynamische modellen gtt Econometrische modellen gtt Finances - Modèles économétriques ram Modèles économétriques ram Statique et dynamique (sciences sociales) ram Mathematisches Modell Ökonometrisches Modell Econometric models Finance Mathematical models Statics and dynamics (Social sciences) Finanzwirtschaft (DE-588)4017214-4 gnd Wirtschaft (DE-588)4066399-1 gnd Dynamisches Modell (DE-588)4150932-8 gnd |
| topic_facet | Bedrijfsfinanciering Dynamische modellen Econometrische modellen Finances - Modèles économétriques Modèles économétriques Statique et dynamique (sciences sociales) Mathematisches Modell Ökonometrisches Modell Econometric models Finance Mathematical models Statics and dynamics (Social sciences) Finanzwirtschaft Wirtschaft Dynamisches Modell Konferenzschrift 1995 Oegstgeest |
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