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Recent econometric techniques for ma...

Dufrenot, Gilles.

Recent econometric techniques for macroeconomic and financial data

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Recent econometric techniques for macroeconomic and financial dataedited by Gilles Dufrenot, Takashi Matsuki.
其他作者:	Dufrenot, Gilles.
出版者:	Cham :Springer International Publishing :2021.
面頁冊數:	xiv, 387 p. :ill., digital ;24 cm.
Contained By:	Springer Nature eBook
標題:	Econometrics.
電子資源:	https://doi.org/10.1007/978-3-030-54252-8
ISBN:	9783030542528$q(electronic bk.)

Recent econometric techniques for macroeconomic and financial data
Recent econometric techniques for macroeconomic and financial data[electronic resource] /edited by Gilles Dufrenot, Takashi Matsuki. - Cham :Springer International Publishing :2021. - xiv, 387 p. :ill., digital ;24 cm. - Dynamic modeling and econometrics in economics and finance,v.271566-0419 ;. - Dynamic modeling and econometrics in economics and finance ;v.17..

Introduction (Gilles Dufrenot and Takashi Matsuki, eds) -- Part I. Macroeconometrics and international finance -- Chapter 1. Quantile and copula spectrum: a new approach to investigate cyclical dependence in economic time series (Gilles Dufrenot, Takashi Matsuki and Kimiko Sugimoto) -- Chapter 2. On the seemingly incompleteness of the exchange rate pass-through to import prices (Antonia Lopez-Villavicencio and Valerie Mignon) -- Chapter 3. A state-space model to estimate potential growth in the industrialized countries (Thomas Brand, Gilles Dufrenot, Antoine Mayerowitz) -- Chapter 4 -- A top-down method for rational bubbles: application of the threshold bounds testing approach to the Japanese, UK and US Financial markets (Jun Nagayasu) -- Chapter 5. An analysis of the time-varying behavior of the equilibrium velocity of money in the euro area (Mariam Camarero, Juan Sapena and Cecilio Tamarit) -- Chapter 6. Revisiting wealth effects in France: a double-nonlinearity approach (Olivier Damette and Fredj Jawadi) -- Part II. Financial econometrics -- Chapter 7. Econometrics of commodities (Jean-Francois Carpantier) -- Chapter 8. Conditional Beta of real estate (Marcel Aloy, Sebastien Laurent and Christelle Lecourt) -- Chapter 9. Common factors in international portfolio flows (Yushi Yoshida) -- Chapter 10. Persistence in the stochastic cycles of stock prices (Luis Alberiko Gil-Alana and Guglielmo Maria Caporale) -- Chapter 11. Commodities and cryptocurrencies: Markov-switching Levy models (Stephane Goutte and Benjamin Keddad) -- List of contributors.

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.

ISBN: 9783030542528$q(electronic bk.)

Standard No.: 10.1007/978-3-030-54252-8doiSubjects--Topical Terms:

182271
Econometrics.

LC Class. No.: HB139 / .R43 2021

Dewey Class. No.: 330.015195

Recent econometric techniques for macroeconomic and financial data
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505 0 $a Introduction (Gilles Dufrenot and Takashi Matsuki, eds) -- Part I. Macroeconometrics and international finance -- Chapter 1. Quantile and copula spectrum: a new approach to investigate cyclical dependence in economic time series (Gilles Dufrenot, Takashi Matsuki and Kimiko Sugimoto) -- Chapter 2. On the seemingly incompleteness of the exchange rate pass-through to import prices (Antonia Lopez-Villavicencio and Valerie Mignon) -- Chapter 3. A state-space model to estimate potential growth in the industrialized countries (Thomas Brand, Gilles Dufrenot, Antoine Mayerowitz) -- Chapter 4 -- A top-down method for rational bubbles: application of the threshold bounds testing approach to the Japanese, UK and US Financial markets (Jun Nagayasu) -- Chapter 5. An analysis of the time-varying behavior of the equilibrium velocity of money in the euro area (Mariam Camarero, Juan Sapena and Cecilio Tamarit) -- Chapter 6. Revisiting wealth effects in France: a double-nonlinearity approach (Olivier Damette and Fredj Jawadi) -- Part II. Financial econometrics -- Chapter 7. Econometrics of commodities (Jean-Francois Carpantier) -- Chapter 8. Conditional Beta of real estate (Marcel Aloy, Sebastien Laurent and Christelle Lecourt) -- Chapter 9. Common factors in international portfolio flows (Yushi Yoshida) -- Chapter 10. Persistence in the stochastic cycles of stock prices (Luis Alberiko Gil-Alana and Guglielmo Maria Caporale) -- Chapter 11. Commodities and cryptocurrencies: Markov-switching Levy models (Stephane Goutte and Benjamin Keddad) -- List of contributors.
520 $a 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.
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