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Nonlinear modeling of economic and financial time-series / edited by Fredj Jawadi, William A. Barnett.
Author
International Symposium in Computational Economic and Finance (1st : 2010 : Sūsah, Tunisia)
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Format
Book
Language
English
Εdition
1st ed.
Published/Created
Bingley, UK : Emerald, 2010.
Description
xvii, 205 pages : illustrations ; 24 cm.
Availability
Available Online
Ebook Central Perpetual, DDA and Subscription Titles
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Location
Call Number
Status
Location Service
Notes
Firestone Library - Stacks
HB141 .I568 2010
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Details
Subject(s)
Econometrics
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Finance
—
Econometric models
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Time-series analysis
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Nonlinear theories
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Related name
Jawadi, Fredj
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Barnett, William A.
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Series
International symposia in economic theory and econometrics ; 20.
[More in this series]
International symposia in economic theory and econometrics, 1571-0386 ; v. 20
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Summary note
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 emerging countries and has strongly affected the whole economy. 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. The book provides the audience a comprehensive understanding of financial and economic dynamics in various aspects using modern financial econometric methods. It addresses the empirical techniques needed by economic agents to analyze the dynamics of these markets and illustrates how they can be applied to the actual data. It also presents and discusses new research findings and their implications.
Notes
"First International Symposium in Computational Economic and Finance (ISCEF2010), which was organized in Sousse (Tunisia), on February 25-29, 2010."--P. xvi.
Bibliographic references
Includes bibliographical references.
Contents
Introduction / Fredj Jawadi, William A. Barnett
Collateralizable wealth, asset returns, and systemic risk : international evidence / Ricardo M. Sousa
Nonlinear stock market links between Mexico and the world / Mohamed El Hedi Arouri, Fredj Jawadi
Dynamic linkages between global macro hedge funds and traditional financial assets / Wafa Kammoun Masmoudi
Copula theory applied to hedge funds dependence structure determination / Rania Hentati, Jean-Luc Prigent
European exchange rate credibility : an empirical analysis / Iuliana Matei
Oil prices and exchange rates : some new evidence using linear and nonlinear models / Mohamed El Hedi Arouri, Fredj Jawadi
Sources of European growth externalities : a two-step approach / Sébastien Pommier, Fabien Rondeau
Alternative methods for forecasting GDP / Dominique Guégan, Patrick Rakotomarolahy
GARCH models with CPPI application / Hachmi Ben Ameur.
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ISBN
9780857244895
0857244892
OCLC
671699911
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Princeton University Library aims to describe library materials in a manner that is respectful to the individuals and communities who create, use, and are represented in the collections we manage.
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Nonlinear modeling of economic and financial time-series [electronic resource] / edited by Fredj Jawadi, William A. Barnett.
id
99125343920506421
Nonlinear modeling of economic and financial time-series / edited by Fredj Jawadi, William A. Barnett.
id
SCSB-9210607