Recent econometric techniques for macroeconomic and financial data
by Dufrénot, Gilles Matsuki, Takashi
The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: i…
Read More ↓Title Statements
- Full title :Recent econometric techniques for macroeconomic and financial data / Gilles Dufrénot, Takashi Matsuki, editors.
Summary
The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models. The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.
Read More ↓Edition Statements
- Publication Date:2021.
Publication Statements
- Publisher(s):Springer
- Place of Publication:Cham
- Language:eng
- Publication Date:2021.
Notes
Appendix 1 Unit Root and Cointegration Tests in the Linear Model.
The Physical Object
- Description:1 online resource (391 pages)
Edition Identifiers
- ISBN:9783030542528, 3030542521, 3030542513, 9783030542511
- DOI:10.1007/978-3-030-54252-8
- oclc:on1224363368
- LC Classification:HB139
- Dewey Decimal:330.015195
Table of Contents
Intro -- Introduction -- Contributions in First Part: Macroeconometrics -- Contributions in Second Part: Financial Econometrics -- Contents -- Contributors -- Macroeconometrics -- Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series -- 1 Introduction -- 2 Harmonic Regression Models and Laplace Periodograms -- 3 Sample and Smoothed Laplace Periodogram -- 4 Copula-Based Periodogram and Rank-Based Laplace Periodogram -- 5 The Multivariate Case -- 6 Empirical Example -- 7 Conclusion -- References
On the Seemingly Incompleteness of Exchange Rate Pass-Through to Import Prices: Do Globalization and/or Regional Trade Matter? -- 1 Introduction -- 2 Methodology -- 3 Data -- 3.1 Time Sample -- 3.2 Variables -- 3.3 Indicators of Globalization -- 3.4 Descriptive Statistics -- 4 Results -- 4.1 Accounting for Globalization -- 4.2 Using Disaggregated Data: Accounting for the Good Level -- 4.3 Accounting for Globalization at the Good Level -- 5 Conclusion -- 6 Appendix -- References -- A State-Space Model to Estimate Potential Growth in the Industrialized Countries -- 1 Introduction
2 A State-Space Model with Theoretical Relationships -- 2.1 The…
Subjects
Writers
More from this Series
No reviews yet. Be the first to rate this work.
Related Works
more →
Santorini Volcano
International migration outlook: annual report 2007 edition
International migration outlook: annual report
Organisation for Economic Co-Operation and Development Staff
Santorini Volcano
Santorini Volcano
Rate & Review