Nonlinear modeling of economic and financial time-series

• Other Authors: Jawadi, Fredj, Barnett, William A.
• Format: Electronic eBook
• Language: English
• Published: Bingley, U.K. : Emerald, 2010.
• Series: International symposia in economic theory and econometrics ; 20.
• Subjects: Business & Economics > Econometrics.; Business & Economics > Economics > Theory.; Economic theory & philosophy.; Econometrics.; Econometric models.; Time-series analysis.

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...

Table of 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.