Nonlinear Modeling of Economic and Financial Time-Series

by Fredj Jawadi (Editor), William A. Barnett (Editor)

Overview

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.

Product Details

ISBN-13:	9780857244895
Publisher:	Emerald Group Publishing Limited
Publication date:	12/17/2010
Series:	International Symposia in Economic Theory and Econometrics , #20
Pages:	211
Product dimensions:	6.00(w) x 9.10(h) x 0.90(d)

Table of Contents

List of Contributors vii

Editorial Advisory Board Members ix

About the Series xi

Introduction xiii

1 Collateralizable Wealth, Asset Returns, and Systemic Risk: International Evidence Ricardo M. Sousa 1

2 Nonlinear Stock Market Links between Mexico and the World Mohamed El Hedi Arouri Fredj Jawadi 29

3 Dynamic Linkages between Global Macro Hedge Funds and Traditional Financial Assets Wafa Kammoun Masmoudi 41

4 Copula Theory Applied to Hedge Funds Dependence Structure Determination Rania Hentati Jean-Luc Prigent 83

5 European Exchange Rate Credibility: An Empirical Analysis Iuliana Matei 111

6 Oil Prices and Exchange Rates: Some New Evidence Using Linear and Nonlinear Models Mohamed El Hedi Arouri Fredj Jawadi 121

7 Sources of European Growth Externalities: A Two-Step Approach Sébastien Pommier Fabien Rondeau 143

8 Alternative Methods for Forecasting GDP Dominique Guégan Patrick Rakotomarolahy 161

9 GARCH Models with CPPI Application Hachmi Ben Ameur 187