Download or read book Essays in Nonlinear Dynamics in Economics and Econometrics written by and published by . This book was released on 2014 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This thesis explores the highly nonlinear profile of the modern financial world and assesses its relevance in monetary policy conduct and macroprudential supervision. It focuses on three possible different origins of nonlinear structures. Firstly, we study the role of the heterogeneous and boundedly rational expectations in driving the aggregate economic dynamics. Secondly, we investigate the irregularities of probability distributions and their consequences for quantitative inference. Thirdly, we assess the behavior of the global asset network through a prism of complex systems. Because of its extraordina1y relevance in the real world, a lot of attention is being paid to the banking side of the economy. The practical goal of this thesis is to provide the tools and general directions on how to incorporate possible nonlinear dependencies into existing economic modeling techniques. In times of very non-standard policy actions, these tools might prove to be of great importance as they offer more robust and flexible approaches to financial modeling and forecasting."--Samenvatting auteur.
Download or read book Nonlinear Dynamics in Economics Finance and the Social Sciences written by Gian Italo Bischi and published by Springer Science & Business Media. This book was released on 2009-12-15 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last two decades there has been a great deal of research into nonlinear dynamic models in economics, finance and the social sciences. This book contains twenty papers that range over very recent applications in these areas. Topics covered include structural change and economic growth, disequilibrium dynamics and economic policy as well as models with boundedly rational agents. The book illustrates some of the most recent research tools in this area and will be of interest to economists working in economic dynamics and to mathematicians interested in seeing ideas from nonlinear dynamics and complexity theory applied to the economic sciences.
Download or read book Essays in Nonlinear Time Series Econometrics written by Niels Haldrup and published by OUP Oxford. This book was released on 2014-06-26 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession.
Download or read book Growth Theory Nonlinear Dynamics and Economic Modelling written by William A. Brock and published by Edward Elgar Publishing. This book was released on 2001-01-01 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Buz Brock's contribution to economic theory in general and economic dynamics in particular are characterized by an unmatched richness of ideas and by deep theoretical, empirical as well as computational analysis. Brock's contribution to economic dynamics range from one extreme of the field, global stability of stochastic optimal growth models, to another extreme, market instability and nonlinearity in economic and financial modelling and data analysis. But his work also includes environmental and economic policy issues and, more recently, the modelling of markets as complex adaptive systems. This collection of essays reflects Brock's richness of ideas that have motivated economists for more than three decades already and will continue to influence many economists for the next decades to come.' - Cars H. Hommes, University of Amsterdam, The Netherlands 'Buz Brock has been, from the beginning of his career, one of the most original thinkers in dynamic economics. His early work showed that growth with random elements could be studied effectively and above all posed exactly the right questions. His more recent work has brought complexity theory to the fore and shown its implications for financial and other markets. In the process, he has both introduced and used econometric tools to show the relevance of his work to empirically observed phenomena. It is very useful to have his work in collected form.' - Kenneth J. Arrow, Stanford University, US This outstanding collection of William Brock's essays illustrates the power of dynamic modelling to shed light on the forces for stability and instability in economic systems. The articles selected reflect his best work and are indicative both of the type of policy problem that he finds challenging and the complex methodology that he uses to solve them. Also included is an introduction by Brock to his own work, which helps tie together the main aspects of his research to date.
Download or read book Nonlinear Dynamics in Economics Finance and the Social Sciences written by Gian Italo Bischi and published by Springer. This book was released on 2014-10-31 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last two decades there has been a great deal of research into nonlinear dynamic models in economics, finance and the social sciences. This book contains twenty papers that range over very recent applications in these areas. Topics covered include structural change and economic growth, disequilibrium dynamics and economic policy as well as models with boundedly rational agents. The book illustrates some of the most recent research tools in this area and will be of interest to economists working in economic dynamics and to mathematicians interested in seeing ideas from nonlinear dynamics and complexity theory applied to the economic sciences.
Download or read book Sunspots and Non Linear Dynamics written by Kazuo Nishimura and published by Springer. This book was released on 2016-12-03 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the state-of-the-art in non-linear dynamics and sunspots. These two topics have been the core of an international conference on instability and public policies in a globalized world, organized at Aix-Marseille School of Economics and GREQAM in honor of Jean-Michel Grandmont. He has made significant contributions on general equilibrium theory, monetary theory, learning, aggregation, non-linear dynamics and sunspots. This book assembles contributions by Jean-Michel Grandmont's colleagues, students and friends that have been influenced by his works and that are at the frontier of research in this domain today.
Download or read book Essays in Economic Dynamics written by Akio Matsumoto and published by Springer. This book was released on 2016-09-22 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reflects the state of the art in nonlinear economic dynamics, providing a broad overview of dynamic economic models at different levels. The wide variety of approaches ranges from theoretical and simulation analysis to methodological study. In particular, it examines the local and global asymptotical behavior of both macro- and micro- level mathematical models, theoretically as well as using simulation. It also focuses on systems with one or more time delays for which new methodology has to be developed to investigate their asymptotic properties. The book offers a comprehensive summary of the existing methodology with extensions to the more complex model variants, since considerations on bounded rationality of complex economic behavior provide the foundation underlying choice-theoretic and policy-oriented studies of macro behavior, which impact the real macro economy. It includes 13 chapters addressing traditional models such as monopoly, duopoly and oligopoly in microeconomics and Keynesian, Goodwinian, and Kaldor–Kaleckian models in macroeconomics. Each chapter presents new aspects of these traditional models that have never been seen before. This work renews the past wisdom and reveals tomorrow's knowledge.
Download or read book Nonlinear Economic Dynamics and Financial Modelling written by Roberto Dieci and published by Springer. This book was released on 2014-07-26 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.
Download or read book Nonlinear Dynamics and Economics written by William A. Barnett and published by Cambridge University Press. This book was released on 1996-10-28 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 1997 book presents developments in nonlinear economic dynamics along with related research from other fields, including mathematics, statistics, biology, and physics.
Download or read book Optimization Dynamics and Economic Analysis written by Engelbert J. Dockner and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book includes a collection of articles that present recent developments in the fields of optimization and dynamic game theory, economic dynamics, dynamic theory of the firm, and population dynamics and non standard applications of optimal control theory. The authors of the articles are well respected authorities in their fields and are known for their high quality research in the fields of optimization and economic dynamics.
Download or read book Equilibrium Markets and Dynamics written by Cars H. Hommes and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains essays in honour of Claus Weddepohl who, after 22 years, is retiring as professor of mathematical economics at the Department of Quantitative Economics of the University of Amsterdam. Claus Weddepohl may be viewed as th~ first Dutch mathematical economist in the general equi librium tradition of Arrow, Debreu and Hahn. The essays in this book are centered around the themes Equilibrium, Markets and Dynamics, that have been at the heart of Weddepohl's work on mathematical economics for more than three decades. The essays have been classified according to these three themes. Admittedly such a classification always is somewhat arbitrary, and most essays would in fact fit into two or even all three themes. The essays have been written by international as well as Dutch friends and colleagues including Weddepohl's former Ph. D. students. The book starts with a review of Claus Weddepohl's work by Roald Ramer, who has been working with him in Amsterdam for all those years. The review describes how Weddepohl became fascinated by general equilibrium theory in the early stages of his career, how he has been working on the theory of markets throughout his career, and how he turned to applications of nonlinear dynamics to price adjustment processes in a later stage of his career. The first part of the book, Equilibrium, collects essays with general equilib rium theory as the main theme.
Download or read book Nonlinear Dynamics written by Alfredo Medio and published by Cambridge University Press. This book was released on 2001-10-11 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: A systematic and comprehensive introduction to the study of nonlinear dynamical systems, in both discrete and continuous time, for nonmathematical students and researchers working in applied fields. An understanding of linear systems and the classical theory of stability are essential although basic reviews of the relevant material are provided. Further chapters are devoted to the stability of invariant sets, bifurcation theory, chaotic dynamics and the transition to chaos. In the final two chapters the authors approach the subject from a measure-theoretical point of view and compare results to those given for the geometrical or topological approach of the first eight chapters. Includes about one hundred exercises. A Windows-compatible software programme called DMC, provided free of charge through a website dedicated to the book, allows readers to perform numerical and graphical analysis of dynamical systems. Also available on the website are computer exercises and solutions to selected book exercises. See www.cambridge.org/economics/resources
Download or read book Essays on Non linear Econometrics written by Sang-Won Lee and published by . This book was released on 1992 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Econometrics written by Clive W. J. Granger and published by Cambridge University Press. This book was released on 2001-07-23 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: These are econometrician Clive W. J. Granger's major essays in causality, integration, cointegration, and long memory.
Download or read book Essays in Dynamics and Econometrics written by Eraldo Fossati and published by . This book was released on 1955 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Nonlinear Dynamics in Economics and Social Sciences written by Franco Gori and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume constitutes the Proceedings of the "Nonlinear Dynamics in Economics and Social Sciences" Meeting held at the Certosa di Pontignano, Siena, on May 27-30, 1991. The Meeting was organized by the National Group "Modelli Nonlineari in Economia e Dinamiche Complesse" of the Italian Ministery of University and SCientific Research, M.U.RS.T. The aim of the Conference, which followed a previous analogous initiative taking place in the very same Certosa, on January 1988*, was the one of offering a come together opportunity to economists interested in a new mathematical approach to the modelling of economical processes, through the use of more advanced analytical techniques, and mathematicians acting in the field of global dynamical systems theory and applications. A basiC underlying idea drove the organizers: the necessity of fOCUSing on the use that recent methods and results, as those commonly referred to the overpopularized label of "Chaotic Dynamics", did find in the social sciences domain; and thus to check their actual relevance in the research program of modelling economic phenomena, in order to individuate and stress promising perspectives, as well as to curb excessive hopes and criticize not infrequent cases where research reduces to mechanical, ad hoc, applications of "a la mode" techniques. In a word we felt the need of looking about the state of the arts in non-linear systems theory applications to economics and social processes: hence the title of the workshop and the volume.
Download or read book Nonlinear Dynamical Systems in Economics written by Marji Lines and published by Springer Science & Business Media. This book was released on 2007-03-23 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many problems in theoretical economics are mathematically formalized as dynam ical systems of difference and differential equations. In recent years a truly open approach to studying the dynamical behavior of these models has begun to make its way into the mainstream. That is, economists formulate their hypotheses and study the dynamics of the resulting models rather than formulating the dynamics and studying hypotheses that could lead to models with such dynamics. This is a great progress over using linear models, or using nonlinear models with a linear approach, or even squeezing economic models into well-studied nonlinear systems from other fields. There are today a number of economic journals open to publishing this type of work and some of these have become important. There are several societies which have annual meetings on the subject and participation at these has been growing at a good rate. And of course there are methods and techniques avail able to a more general audience, as well as a greater availability of software for numerical and graphical analysis that makes this type of research even more excit ing. The lecturers for the Advanced School on Nonlinear Dynamical Systems in Economics, who represent a wide selection of the research areas to which the the ory has been applied, agree on the importance of simulations and computer-based analysis. The School emphasized computer applications of models and methods, and all contributors ran computer lab sessions.
