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

• Record Nr.: UNINA9910460305303321
• Pubbl/distr/stampa: Bingley, UK, : Emerald, 2010
• ISBN: 1-282-96412-7; 9786612964121; 0-85724-490-6
• Edizione: [1st ed.]
• Descrizione fisica: 1 online resource (223 p.)
• Collana: International symposia in economic theory and econometrics, , 1571-0386 ; ; v. 20
• Altri autori (Persone): BarnettWilliam A; JawadiFredj
• Disciplina: 330.015195
• Soggetti: Econometrics; Finance - Econometric models; Nonlinear theories; Time-series analysis; Electronic books.
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: "First International Symposium in Computational Economic and Finance (ISCEF2010), which was organized in Sousse (Tunisia), on February 25-29, 2010."--P. xvi.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: Front cover; Nonlinear Modeling of Economic and Financial Time-Series; Copyright page; Contents; List of Contributors; Editorial Advisory Board Members; About the Series; Introduction; Chapter 1. Collateralizable Wealth, Asset Returns, and Systemic Risk: International Evidence; Chapter 2. Nonlinear Stock Market Links between Mexico and the World; Chapter 3. Dynamic Linkages between Global Macro Hedge Funds and Traditional Financial Assets; Chapter 4. Copula Theory Applied to Hedge Funds Dependence Structure Determination; Chapter 5. European Exchange Rate Credibility: An Empirical Analysis; Chpater 6. Oil Prices and Exchange Rates: Some New Evidence Using Linear and Nonlinear ModelsChapter 7. Sources of European Growth Externalities: A Two-Step Approach; Chapter 8. Alternative Methods for Forecasting GDP; Chapter 9. GARCH Models with CPPI Application
• Sommario/riassunto: 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. This volume should have important implication for economists, investors, policymakers.