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Author: Greg N. Gregoriou
Publisher: Springer
Published: 2010-12-08
Total Pages: 196
ISBN-13: 0230295215
DOWNLOAD EBOOK →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.
Author: G. Gregoriou
Publisher: Springer
Published: 2010-12-21
Total Pages: 195
ISBN-13: 0230295223
DOWNLOAD EBOOK →This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinear models for hedging purposes, and proposes new computational techniques to estimate financial processes.
Author: Zied Ftiti
Publisher: World Scientific
Published: 2021-03-22
Total Pages: 609
ISBN-13: 1786349515
DOWNLOAD EBOOK →In the last twenty years, several periods of turmoil have shaped the financial and economic system. Many regulatory policies, such as Basel III, have been introduced to overcome further crises and scandals. In addition, monetary policy has experienced a transition from conventional to unconventional frameworks in most industrialized and emerging economies. For instance, turning to hedge and diversification of portfolios, commodities markets have attracted increasing interest. More recently, new forms of money have been introduced, such as virtual money. These changes have influenced governance features at both macro and micro levels. Therefore, calls for ethical and sustainable standards in financial and economic spheres have been growing since 2007.Financial and Economic Systems: Transformations and New Challenges provides readers with insights about future transformations and challenges for financial and economic systems. Prominent contributors focus on different aspects, providing a global overview of crisis implications. The book is split into four main areas: Changes in the Real Sphere, covering issues related to yields, risk, unconventional monetary policy, and macroprudential policy; Financial Markets and Macroeconomics, covering uncertainty in finance and economics; CSR, Sustainability and Ethical Finance, highlighting the emergence of corporate social responsibility; and Digitalization, Blockchain and FinTech and the consequences of these transformations on markets and economic systems.
Author: Jun Ma
Publisher: Springer Science & Business Media
Published: 2013-09-24
Total Pages: 308
ISBN-13: 1461480604
DOWNLOAD EBOOK →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.
Author: Gilles Dufrénot
Publisher: Springer Science & Business Media
Published: 2002-04-30
Total Pages: 338
ISBN-13: 9781402070297
DOWNLOAD EBOOK →This book provides new insights on nonlinear cointegration and error correction models. It seeks to bring together recent developments on the subject that are, up until today, scattered throughout the literature. The authors demonstrate the importance of NECM models for studying partial adjustment problems in macroeconomics and the efficient market hypothesis in finance. Even though papers on nonlinear cointegration are numerous a survey can still be made on the topic. This book is accessible to a large audience that includes academics working on applied econometrics, practitioners of financial markets and econometric modelling and all persons interested in time series analysis.
Author: G. Gregoriou
Publisher: Springer
Published: 2010-12-13
Total Pages: 257
ISBN-13: 0230298109
DOWNLOAD EBOOK →This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Author: G. Gregoriou
Publisher: Springer
Published: 2010-11-30
Total Pages: 206
ISBN-13: 0230295207
DOWNLOAD EBOOK →This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, it considers new models for hedge funds and derivatives of derivatives, and adds to the literature of testing for the efficiency of markets both theoretically and empirically.
Author: Philip Rothman
Publisher: Springer Science & Business Media
Published: 2012-12-06
Total Pages: 379
ISBN-13: 1461551293
DOWNLOAD EBOOK →Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.
Author: William A. Barnett
Publisher: Cambridge University Press
Published: 2000-05-22
Total Pages: 248
ISBN-13: 9780521594240
DOWNLOAD EBOOK →This book presents some of the more recent developments in nonlinear time series, including Bayesian analysis and cointegration tests.
Author: Eric Zivot
Publisher: Springer Science & Business Media
Published: 2013-11-11
Total Pages: 632
ISBN-13: 0387217630
DOWNLOAD EBOOK →The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.
