Recent Econometric Techniques for Macroeconomic and Financial Data
portes grátis
Recent Econometric Techniques for Macroeconomic and Financial Data
Dufrenot, Gilles; Matsuki, Takashi
Springer Nature Switzerland AG
11/2021
387
Mole
Inglês
9783030542542
15 a 20 dias
617
Descrição não disponível.
Introduction (Gilles Dufrenot and Takashi Matsuki, eds).- Part I. Macroeconometrics and international finance.- Chapter 1. Quantile and copula spectrum: a new approach to investigate cyclical dependence in economic time series (Gilles Dufrenot, Takashi Matsuki and Kimiko Sugimoto).- Chapter 2. On the seemingly incompleteness of the exchange rate pass-through to import prices (Antonia Lopez-Villavicencio and Valerie Mignon).- Chapter 3. A state-space model to estimate potential growth in the industrialized countries (Thomas Brand, Gilles Dufrenot, Antoine Mayerowitz).- Chapter 4.- A top-down method for rational bubbles: application of the threshold bounds testing approach to the Japanese, UK and US Financial markets (Jun Nagayasu).- Chapter 5. An analysis of the time-varying behavior of the equilibrium velocity of money in the euro area (Mariam Camarero, Juan Sapena and Cecilio Tamarit).- Chapter 6. Revisiting wealth effects in France: a double-nonlinearity approach (Olivier Damette and Fredj Jawadi).- Part II. Financial econometrics.- Chapter 7. Econometrics of commodities (Jean-Francois Carpantier).- Chapter 8. Conditional Beta of real estate (Marcel Aloy, Sebastien Laurent and Christelle Lecourt).- Chapter 9. Common factors in international portfolio flows (Yushi Yoshida).- Chapter 10. Persistence in the stochastic cycles of stock prices (Luis Alberiko Gil-Alana and Guglielmo Maria Caporale).- Chapter 11. Commodities and cryptocurrencies: Markov-switching Levy models (Stephane Goutte and Benjamin Keddad).- List of contributors.
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Quantile Spectrum and Copulas;Dynamic Hierarchical Factor Models;Nonlinear Models;Time-varying Models;Econometrics of Commodities;Conditional Beta Models;Common Factors;Contagion and Latent Component Models;Multivariate Garch Models;quantitative finance
Introduction (Gilles Dufrenot and Takashi Matsuki, eds).- Part I. Macroeconometrics and international finance.- Chapter 1. Quantile and copula spectrum: a new approach to investigate cyclical dependence in economic time series (Gilles Dufrenot, Takashi Matsuki and Kimiko Sugimoto).- Chapter 2. On the seemingly incompleteness of the exchange rate pass-through to import prices (Antonia Lopez-Villavicencio and Valerie Mignon).- Chapter 3. A state-space model to estimate potential growth in the industrialized countries (Thomas Brand, Gilles Dufrenot, Antoine Mayerowitz).- Chapter 4.- A top-down method for rational bubbles: application of the threshold bounds testing approach to the Japanese, UK and US Financial markets (Jun Nagayasu).- Chapter 5. An analysis of the time-varying behavior of the equilibrium velocity of money in the euro area (Mariam Camarero, Juan Sapena and Cecilio Tamarit).- Chapter 6. Revisiting wealth effects in France: a double-nonlinearity approach (Olivier Damette and Fredj Jawadi).- Part II. Financial econometrics.- Chapter 7. Econometrics of commodities (Jean-Francois Carpantier).- Chapter 8. Conditional Beta of real estate (Marcel Aloy, Sebastien Laurent and Christelle Lecourt).- Chapter 9. Common factors in international portfolio flows (Yushi Yoshida).- Chapter 10. Persistence in the stochastic cycles of stock prices (Luis Alberiko Gil-Alana and Guglielmo Maria Caporale).- Chapter 11. Commodities and cryptocurrencies: Markov-switching Levy models (Stephane Goutte and Benjamin Keddad).- List of contributors.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
