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Nonlinear Time Series Analysis of Economic and Financial Data : Dynamic Modeling and Econometrics in Economics and Finance - Philip Rothman

Nonlinear Time Series Analysis of Economic and Financial Data

Dynamic Modeling and Econometrics in Economics and Finance

By: Philip Rothman (Editor)

Hardcover

Published: 31st January 1999
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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.

Contributing Authors
Introduction
Business Cycle Turning Points: Two Empirical Business Cycle Model Approachesp. 1
A Markov Switching Cookbookp. 33
A Reanalysis of the Spectral Properties of Some Economic and Financial Time Seriesp. 45
Nonlinear Econometric Modelling: A Selective Reviewp. 87
Unit-Root Tests and Excess Returnsp. 111
On the Inherent Nonlinearity of Frequency Dependent Time Series Relationshipsp. 129
Stationarity Tests with Multiple Endogenized Breaksp. 143
Nonlinear Evolution in UK Stock Returns and Volumep. 165
Nonlinear Adjustment towards Long-Run Money Demandp. 179
Asymmetric Nonlinear Smooth Transition Garch Modelsp. 191
Testing the Present Value Hypothesis from a Vector Autoregression with Stochastic Regime Switchingp. 209
Business Cycle Dynamics: Predicting Transitions with Macrovariablesp. 231
Searching for the Sources of Arch Behavior: Testing the Mixture of Distributions Modelp. 267
Improved Testing and Specification of Smooth Transition Regression Modelsp. 289
Speculative Behavior, Regime-Switching, and Stock Market Crashesp. 321
Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Testp. 357
Indexp. 369
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9780792383796
ISBN-10: 0792383796
Series: Dynamic Modeling and Econometrics in Economics and Finance
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 373
Published: 31st January 1999
Publisher: Springer
Country of Publication: NL
Dimensions (cm): 23.5 x 15.5  x 2.54
Weight (kg): 1.61