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【経済金融データの非線形時系列解析】

Nonlinear Time Series Analysis of Economic and Financial Data 1999th ed.(Dynamic Modeling and Econometrics in Economics and Fina

Rothman, Philip 　編

在庫状況海外在庫有り	お届け予定日 1ヶ月
価格 \73,264（税込）

発行年月	1999年01月
出版社／提供元	Springer-Verlag New York
出版国	アメリカ合衆国
言語	英語
媒体	冊子
装丁	hardcover
ページ数／巻数	XVI, 373 p.
ジャンル	洋書／社会科学／経済学／数理経済・計量経済・実験経済
ISBN	9780792383796
商品コード	0209856449
本の性格	学術書
商品URL	https://kw.maruzen.co.jp/ims/itemDetail.html?itmCd=0209856449

内容

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.

Introduction; P. Rothman. 1. Business Cycle Turning Points: Two Empirical Business Cycle Model Approaches; A.J. Filardo, S.F. Gordon. 2. A Markov Switching Cookbook; B. Mizrach, J. Watkins. 3. A Reanalysis of the Spectral Properties of Some Economic and Financial Time Series; J.B. Ramsey, D.J. Thomson. 4. Nonlinear Econometric Modelling: A Selective Review; N.R. Swanson, P.H. Franses. 5. Unit-Root Tests and Excess Returns; M.-J. Godbout, S. van Norden. 6. On the Inherent Nonlinearity of Frequency Dependent Time Series Relationships; Hui Boon Tan, R. Ashley. 7. Stationarity Tests with Multiple Endogenized Breaks; Junsoo Lee. 8. Nonlinear Evolution in UK Stock Returns and Volume; C. Brooks, et al. 9. Nonlinear Adjustment Towards Long-Run Money Demand; P. Michael, et al. 10. Asymmetric Nonlinear Smooth Transition Garch Models; H.M. Anderson, et al. 11. Testing the Present Value Hypothesis from a Vector Autoregression with Stochastic Regime Switching; J. Driffill, M. Sola. 12. Business Cycle Dynamics: Predicting Transitions with Macrovariables; M.O. Ravn, M. Sola. 13. Searching for the Sources of Arch Behavior: Testing the Mixture of Distributions Model; P. de Fontnouvelle. 14. Improved Testing and Specification of Smooth Transition Regression Models; A. Escribano, O. Jordá. 15. Speculative Behavior, Regime-Switching, and Stock Market Crashes; S. van Norden, H. Schaller. 16. Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test; P. Rothman.Index.