Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

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.

Statistical science --- Macroeconomics --- Quantitative methods (economics) --- Money market. Capital market --- financiële markten --- statistiek --- macro-economie --- econometrie --- Econometrics.

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Chaotic behavior in systems --- Economic development --- Economics, Mathematical --- Nonlinear theories --- Mathematical models

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

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.

Statistical science --- Macroeconomics --- Quantitative methods (economics) --- Money market. Capital market --- financiële markten --- statistiek --- macro-economie --- econometrie

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This book discusses market microstructure environment within the context of the global financial crisis and investigates the recent econometric tools toimprove financial markets dynamics in calm and turbulent times. In the first part, the market microstructure theory is examined and the main microstructure models and hypotheses are discussed. In particular, contributors focus on themain effects of the financial downturn through an examination of marketmicrostructure dynamics, the limitations associated with standard microstructure models and the investigation of ways to improve such models. Interestingly, promising analyses based on recent high-frequency data and sophisticated models discuss new regulations, and recent developments for financial markets are provided in order to improve the understating of market microstructure evolution. As for the second part, this book focuses on Nonlinear Dynamics. Through interesting contributions concerning stock markets, exchange rate and bond markets, authors propose several new specifications to improve the modelling of key financial variables such as return, risk premium, risk, etc. Also, this part provides interesting explanations of the effects and the consequences of high-level linkages between financial markets. Finally, while analyzing the effect of the recent global financial crisis and the reaction function of investors, markets and institutions, authors specify the appropriate way to better forecast financial markets dynamics and improve investment and financial decisions. For both parts, well-known experts on market microstructure and nonlinear econometrics contribute to the chapters in the book. This book is strongly recommended for academic researchers, students and quantitative practitioners.

Investments --- Financial crises. --- Microeconomics. --- Mathematical models. --- Price theory --- Economics --- Crashes, Financial --- Crises, Financial --- Financial crashes --- Financial panics --- Panics (Finance) --- Stock exchange crashes --- Stock market panics --- Crises --- Finance. --- Macroeconomics. --- Finance, general. --- Macroeconomics/Monetary Economics//Financial Economics. --- Quantitative Finance. --- Funding --- Funds --- Currency question --- Economics, Mathematical . --- Mathematical economics --- Econometrics --- Mathematics --- Methodology

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Union économique et monétaire ouest africaine. --- Africa, French-speaking West --- Afrique occidentale francophone --- Economic policy. --- Economic conditions --- Politique économique --- Conditions économiques --- 331.31 --- AFR / Africa - Afrika - Afrique --- BF / Burkina Faso --- BJ / Bénin --- CI / Côte d'Ivoire - Ivoorkust --- GW / Guinea Bissau - Guinée Bissau --- ML / Mali --- NE / Niger --- SN / Sénégal --- TG / Togo --- Economisch beleid --- UEMOA --- West African Economic and Monetary Union --- WAEMU --- Union monétaire ouest africaine --- French-speaking West Africa --- IYEMOWA