Nonlinear modeling of economic and financial time-series / edited by Fredj Jawadi, William A. Barnett.

Format:

Book

Contributor:

Jawadi, Fredj.

Barnett, William A.

Series:

International symposia in economic theory and econometrics ; 20.

International symposia in economic theory and econometrics, 1571-0386 ; 20

Language:

English

Subjects (All):

Econometric models.

Time-series analysis.

Physical Description:

1 online resource (223 p.)

Edition:

1st ed.

Place of Publication:

Bingley, UK : Emerald, 2010.

Language Note:

English

Summary:

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.

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.

Notes:

"First International Symposium in Computational Economic and Finance (ISCEF2010), which was organized in Sousse (Tunisia), on February 25-29, 2010."--P. xvi.

Includes bibliographical references.

Print version record

ISBN:

9786612964121

9781282964129

1282964127

9780857244901

0857244906

OCLC:

699812820