Recent developments in nonlinear cointegration with applications to macroeconomics and finance

by Gilles Dufrénot and Valérie Mignon

This book provides new insights on nonlinear cointegration and error correction models. It seeks to bring together recent developments on the subject that are, up until today, scattered throughout the literature. The authors demonstrate the importance of NECM models for studying partial adjustment problems in macroeconomics and the efficient market hypothesis in finance. Even though papers on nonlinear cointegration are numerous a survey can still be made on the topic. This book is accessible to a large audience that includes academics working on applied econometrics, practitioners of financial markets and econometric modelling and all persons interested in time series analysis.

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[目次]

  • List of Figures. List of Tables. Preface. Acknowledgments. 1. Introduction. 2. Are the unit-root tests adequate for nonlinear models? 3. Nonlinear measures of persistence in time series. 4. Nonlinear equilibration, cointegration and NEC models. 5. Asymmetric and threshold nonlinear error-correction models. References. Index.

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この本の情報

書名 Recent developments in nonlinear cointegration with applications to macroeconomics and finance
著作者等 Mignon, Valérie
Dufrenot Gilles
Mignon Valerie
Dufrénot Gilles
出版元 Kluwer Academic Publishers
刊行年月 c2002
ページ数 xxvii, 299 p.
大きさ 25 cm
ISBN 1402070292
NCID BA5837060X
※クリックでCiNii Booksを表示
言語 英語
出版国 アメリカ合衆国
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