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...
Gespeichert in:
| Weitere Verfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Bingley, U.K. :
Emerald,
2010.
|
| Schriftenreihe: | International symposia in economic theory and econometrics ;
20. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (xvii, 205 pages) : illustrations |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9780857244901 0857244906 1282964127 9781282964129 9786612964121 661296412X |
| ISSN: | 1571-0386 ; |
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| 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. | ||
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Print version record. | |
| 546 | |a English. | ||
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| 650 | 6 | |a Modèles économétriques. | |
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| 700 | 1 | |a Barnett, William A. |0 http://id.loc.gov/authorities/names/n80133687 | |
| 776 | 0 | 8 | |i Print version: |a International Symposium in Computational Economic and Finance (1st : 2010 : Sūsah, Tunisia). |t Nonlinear modeling of economic and financial time-series. |b 1st ed. |d Bingley, UK : Emerald, 2010 |z 9780857244895 |w (OCoLC)671699911 |
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| contents | 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. |
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| genre | proceedings (reports) aat Conference papers and proceedings fast Conference papers and proceedings. lcgft http://id.loc.gov/authorities/genreForms/gf2014026068 Actes de congrès. rvmgf |
| genre_facet | proceedings (reports) Conference papers and proceedings Conference papers and proceedings. Actes de congrès. |
| id | ZDB-4-EBA-ocn699812820 |
| illustrated | Illustrated |
| indexdate | 2024-11-27T13:17:41Z |
| institution | BVB |
| isbn | 9780857244901 0857244906 1282964127 9781282964129 9786612964121 661296412X |
| issn | 1571-0386 ; |
| language | English |
| oclc_num | 699812820 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xvii, 205 pages) : illustrations |
| psigel | ZDB-4-EBA |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | Emerald, |
| record_format | marc |
| series | International symposia in economic theory and econometrics ; |
| series2 | International symposia in economic theory and econometrics, |
| spelling | Nonlinear modeling of economic and financial time-series / edited by Fredj Jawadi, William A. Barnett. Bingley, U.K. : Emerald, 2010. 1 online resource (xvii, 205 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 text file rdaft http://rdaregistry.info/termList/fileType/1002 International symposia in economic theory and econometrics, 1571-0386 ; 20 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. 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. Includes bibliographical references. Print version record. English. Econometric models. http://id.loc.gov/authorities/subjects/sh85040762 Time-series analysis. http://id.loc.gov/authorities/subjects/sh85135430 Modèles économétriques. Série chronologique. Economic theory & philosophy. bicssc Econometrics. bicssc Business & Economics Econometrics. bisacsh Business & Economics Economics Theory. bisacsh Gestion d'entreprises. eclas Econometric models fast Time-series analysis fast proceedings (reports) aat Conference papers and proceedings fast Conference papers and proceedings. lcgft http://id.loc.gov/authorities/genreForms/gf2014026068 Actes de congrès. rvmgf Jawadi, Fredj. http://id.loc.gov/authorities/names/n2009042468 Barnett, William A. http://id.loc.gov/authorities/names/n80133687 Print version: International Symposium in Computational Economic and Finance (1st : 2010 : Sūsah, Tunisia). Nonlinear modeling of economic and financial time-series. 1st ed. Bingley, UK : Emerald, 2010 9780857244895 (OCoLC)671699911 International symposia in economic theory and econometrics ; 20. http://id.loc.gov/authorities/names/n86735086 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=351748 Volltext |
| spellingShingle | Nonlinear modeling of economic and financial time-series / International symposia in economic theory and econometrics ; 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. Econometric models. http://id.loc.gov/authorities/subjects/sh85040762 Time-series analysis. http://id.loc.gov/authorities/subjects/sh85135430 Modèles économétriques. Série chronologique. Economic theory & philosophy. bicssc Econometrics. bicssc Business & Economics Econometrics. bisacsh Business & Economics Economics Theory. bisacsh Gestion d'entreprises. eclas Econometric models fast Time-series analysis fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85040762 http://id.loc.gov/authorities/subjects/sh85135430 http://id.loc.gov/authorities/genreForms/gf2014026068 |
| title | Nonlinear modeling of economic and financial time-series / |
| title_auth | Nonlinear modeling of economic and financial time-series / |
| title_exact_search | Nonlinear modeling of economic and financial time-series / |
| title_full | Nonlinear modeling of economic and financial time-series / edited by Fredj Jawadi, William A. Barnett. |
| title_fullStr | Nonlinear modeling of economic and financial time-series / edited by Fredj Jawadi, William A. Barnett. |
| title_full_unstemmed | Nonlinear modeling of economic and financial time-series / edited by Fredj Jawadi, William A. Barnett. |
| title_short | Nonlinear modeling of economic and financial time-series / |
| title_sort | nonlinear modeling of economic and financial time series |
| topic | Econometric models. http://id.loc.gov/authorities/subjects/sh85040762 Time-series analysis. http://id.loc.gov/authorities/subjects/sh85135430 Modèles économétriques. Série chronologique. Economic theory & philosophy. bicssc Econometrics. bicssc Business & Economics Econometrics. bisacsh Business & Economics Economics Theory. bisacsh Gestion d'entreprises. eclas Econometric models fast Time-series analysis fast |
| topic_facet | Econometric models. Time-series analysis. Modèles économétriques. Série chronologique. Economic theory & philosophy. Econometrics. Business & Economics Econometrics. Business & Economics Economics Theory. Gestion d'entreprises. Econometric models Time-series analysis proceedings (reports) Conference papers and proceedings Conference papers and proceedings. Actes de congrès. |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=351748 |
| work_keys_str_mv | AT jawadifredj nonlinearmodelingofeconomicandfinancialtimeseries AT barnettwilliama nonlinearmodelingofeconomicandfinancialtimeseries |