Download or read book Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance written by Gilles Dufrenot and published by . This book was released on 2014-09-01 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance written by Gilles Dufrénot and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an introductory exposition of different topics that emerged in the literature as unifying themes between two fields of econometrics of time series, namely nonlinearity and nonstationarity. Papers on these topics have exploded over the last two decades, but they are rarely ex amined together. There is, undoubtedly, a variety of arguments that justify such a separation. But there are also good reasons that motivate their combination. People who are reluctant to a combined analysis might argue that nonlinearity and nonstationarity enhance non-trivial problems, so their combination does not stimulate interest in regard to plausibly increased difficulties. This argument can, however, be balanced by other ones of an economic nature. A predominant idea, today, is that a nonstationary series exhibits persistent deviations from its long-run components (either deterministic or stochastic trends). These persistent deviations are modelized in various ways: unit root models, fractionally integrated processes, models with shifts in the time trend, etc. However, there are many other behaviors inherent to nonstationary processes, that are not reflected in linear models. For instance, economic variables with mixture distributions, or processes that are state-dependent, undergo episodes of changing dynamics. In models with multiple long-run equi libria, the moving from an equilibrium to another sometimes implies hys teresis. Also, it is known that certain shocks can change the economic fundamentals, thereby reducing the possibility that an initial position is re-established after a shock (irreversibility).
Download or read book Recent Econometric Techniques for Macroeconomic and Financial Data written by Gilles Dufrénot and published by Springer Nature. This book was released on 2020-11-21 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models. The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.
Download or read book Nonlinear Financial Econometrics Markov Switching Models Persistence and Nonlinear Cointegration written by Greg N. Gregoriou and published by Springer. This book was released on 2010-12-08 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.
Download or read book The Dynamics of Emerging Stock Markets written by Mohamed El Hedi Arouri and published by Springer Science & Business Media. This book was released on 2009-12-24 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets has been particularly challenged by their fast changes in nature and size under the effects of financial liberalization and reforms. This evolving feature has particularly led to a commensurate increase in sophistication of modeling techniques used for understanding financial markets. In this spirit, the book aims at providing the audience a comprehensive understanding of emerging stock markets 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. On the other hand, it presents and discusses new research findings and their implications.
Download or read book The Evolving Role of Asia In Global Finance written by Yin-Wong Cheung and published by Emerald Group Publishing. This book was released on 2011-03-10 with total page 447 pages. Available in PDF, EPUB and Kindle. Book excerpt: The process of Asia's rise to a position of eminence in global finance has accelerated in the wake of the international financial crisis. This volume intends to explore and understand the dynamics created by this process of transition.
Download or read book Principles of Econometrics written by Valérie Mignon and published by Springer Nature. This book was released on with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Fifth European Workshop on Structural Health Monitoring 2010 written by Fabio Casciati and published by DEStech Publications, Inc. This book was released on 2010 with total page 1425 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Recent Advances in Estimating Nonlinear Models written by Jun Ma and published by Springer. This book was released on 2017-04-30 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear models have been used extensively in the areas of economics and finance. Recent literature on the topic has shown that a large number of series exhibit nonlinear dynamics as opposed to the alternative--linear dynamics. Incorporating these concepts involves deriving and estimating nonlinear time series models, and these have typically taken the form of Threshold Autoregression (TAR) models, Exponential Smooth Transition (ESTAR) models, and Markov Switching (MS) models, among several others. This edited volume provides a timely overview of nonlinear estimation techniques, offering new methods and insights into nonlinear time series analysis. It features cutting-edge research from leading academics in economics, finance, and business management, and will focus on such topics as Zero-Information-Limit-Conditions, using Markov Switching Models to analyze economics series, and how best to distinguish between competing nonlinear models. Principles and techniques in this book will appeal to econometricians, finance professors teaching quantitative finance, researchers, and graduate students interested in learning how to apply advances in nonlinear time series modeling to solve complex problems in economics and finance.
Download or read book The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics written by Jeffrey Racine and published by Oxford University Press. This book was released on 2014-04 with total page 562 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, edited by Jeffrey Racine, Liangjun Su, and Aman Ullah, contains the latest research on nonparametric and semiparametric econometrics and statistics. Chapters by leading international econometricians and statisticians highlight the interface between econometrics and statistical methods for nonparametric and semiparametric procedures.
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Download or read book Bilinear Control Systems written by David Elliott and published by Springer Science & Business Media. This book was released on 2009-09-01 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: The mathematical theory of control became a ?eld of study half a century ago in attempts to clarify and organize some challenging practical problems and the methods used to solve them. It is known for the breadth of the mathematics it uses and its cross-disciplinary vigor. Its literature, which can befoundinSection93ofMathematicalReviews,wasatonetimedominatedby the theory of linear control systems, which mathematically are described by linear di?erential equations forced by additive control inputs. That theory led to well-regarded numerical and symbolic computational packages for control analysis and design. Nonlinear control problems are also important; in these either the - derlying dynamical system is nonlinear or the controls are applied in a n- additiveway.Thelastfourdecadeshaveseenthedevelopmentoftheoretical work on nonlinear control problems based on di?erential manifold theory, nonlinear analysis, and several other mathematical disciplines. Many of the problems that had been solved in linear control theory, plus others that are new and distinctly nonlinear, have been addressed; some resulting general de?nitions and theorems are adapted in this book to the bilinear case.
Download or read book Time Series Analysis Methods and Applications written by Tata Subba Rao and published by Elsevier. This book was released on 2012-06-26 with total page 778 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Handbook of Statistics' is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with volume 30 dealing with time series.
Download or read book Time Series Analysis Methods and Applications written by and published by Elsevier. This book was released on 2012-05-18 with total page 777 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of statistics not only affects all areas of scientific activity, but also many other matters such as public policy. It is branching rapidly into so many different subjects that a series of handbooks is the only way of comprehensively presenting the various aspects of statistical methodology, applications, and recent developments.The Handbook of Statistics is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with Volume 30 dealing with time series. The series is addressed to the entire community of statisticians and scientists in various disciplines who use statistical methodology in their work. At the same time, special emphasis is placed on applications-oriented techniques, with the applied statistician in mind as the primary audience. - Comprehensively presents the various aspects of statistical methodology - Discusses a wide variety of diverse applications and recent developments - Contributors are internationally renowened experts in their respective areas
Download or read book Health Assessment Of Engineered Structures Bridges Buildings And Other Infrastructures written by Achintya Haldar and published by World Scientific. This book was released on 2013-05-08 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Health Assessment of Engineered Structures has become one of the most active research areas and has attracted multi-disciplinary interest. Since available financial recourses are very limited, extending the lifespan of existing bridges, buildings and other infrastructures has become a major challenge to the engineering profession world-wide. Some of its related areas are only in their development phase. As the study of structural health assessment matures, more new areas are being identified to complement the concept.This book covers some of the most recent developments (theoretical and experimental) and application potentials in structural health assessment. It is designed to present currently available information in an organised form to interested parties who are not experts in the subject.Each chapter is authored by the most active scholar(s) in the area. After discussing the general concept, various currently available methods of structural health assessment (such as the use of smart sensors) are presented. Health Assessment discusses the following: sensor types, platforms and data conditioning for practical applications; wireless collection of sensor data, sensor power needs and on-site energy harvesting; and long term monitoring of structures. Uncertainty in collected data is also extensively addressed. A chapter discussing future directions in structural health assessment is also included.
Download or read book Coping with the Complexity of Economics written by Marisa Faggini and published by Springer Science & Business Media. This book was released on 2009-05-05 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: Throughout the history of economics, a variety of analytical tools have been borrowed from the so-called exact sciences. As Schoe?er (1955) puts it: “They have taken their mathematics and their ded- tive techniques from physics, their statistics from genetics and agr- omy, their systems of classi?cation from taxonomy and chemistry, their model-construction techniques from astronomy and mechanics, and their methods of analysis of the consequences of actions from en- neering”. The possibility of similarities of structure in mathematical models of economic and physical systems has been an important f- tor in the development of neoclassical theory. To treat the state of an economy as an equilibrium, analogous to the equilibrium of a mech- ical system has been a key concept in economics ever since it became a mathematically formalized science. Adopting a Newtonian paradigm neoclassical economics often is based on three fundamental concepts. Firstly, the representative agent who is a scale model of the whole society with extraordinary capacities, particularly concerning her - pability of information processing and computation. Of course, this is a problematic reduction as agents are both heterogeneous and bou- edly rational and limited in their cognitive capabilities. Secondly, it often con?ned itself to study systems in a state of equilibrium. But this concept is not adequate to describe and to support phenomena in perpetual motion.
Download or read book New Trends in Macroeconomics written by Claude Diebolt and published by Springer Science & Business Media. This book was released on 2005-11-21 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text provides a new approach to the subject, including a comprehensive survey of novel theoretical approaches, methods, and models used in macroeconomics and macroeconometrics. The book gives extensive insight into economic policy, incorporates a strong international perspective, and offers a broad historical perspective.
