Recent Advances in Estimating Nonlinear Models

With Applications in Economics and Finance

Editors: Ma, Jun, Wohar, Mark (Eds.)

  • First comprehensive text to feature the most advanced methodologies and nonlinear modeling techniques for economics and finance
  • Ideal supplement for graduate students and researchers working with time series analysis
  • Includes contributions from well-known academics and nonlinear modeling experts
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Buy this book

eBook $139.00
price for USA (gross)
  • ISBN 978-1-4614-8060-0
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  • Included format: EPUB, PDF
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  • Immediate eBook download after purchase
Hardcover $179.00
price for USA
  • ISBN 978-1-4614-8059-4
  • with online files
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $179.00
price for USA
  • ISBN 978-1-4939-5259-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

Nonlinear models have been used extensively in the areas of economics and finance. Recent literature on the topic has shown that a large number of series exhibit nonlinear dynamics as opposed to the alternative--linear dynamics. Incorporating these concepts involves deriving and estimating nonlinear time series models, and these have typically taken the form of Threshold Autoregression (TAR) models, Exponential Smooth Transition (ESTAR) models, and Markov Switching (MS) models, among several others. This edited volume provides a timely overview of nonlinear estimation techniques, offering new methods and insights into nonlinear time series analysis. It features cutting-edge research from leading academics in economics, finance, and business management, and will focus on such topics as Zero-Information-Limit-Conditions, using Markov Switching Models to analyze economics series, and how best to distinguish between competing nonlinear models. Principles and techniques in this book will appeal to econometricians, finance professors teaching quantitative finance, researchers, and graduate students interested in learning how to apply advances in nonlinear time series modeling to solve complex problems in economics and finance.

About the authors

Jun Ma

Professor Ma’s primary research interests are Macroeconomics, International Finance, Asset Pricing, and Time Series Econometrics. He has published in journals such as Journal of International Economics, Journal of Money, Credit, and Banking, Journal of Economic Dynamics and Control, Studies in Nonlinear Dynamics and Econometrics, Journal of Banking and Finance, and European Journal of Finance. He was a visiting scholar at Norges Bank (the central bank of Norway) and has been invited to present his research work at central banks and universities, including Norges Bank, Federal Reserve Bank of St. Louis, University of Washington, Virginia Tech, University of Houston, University of Kansas, and University of Nebraska at Omaha.

Department of Economic, Finance, and Legal Studies University of Alabama Tuscaloosa, AL 35487 USA jma@cba.ua.edu Mark E. Wohar Department of Economics University of Nebraska-Omaha RH 512K Omaha, NE 68182 mwohar@mail.unomaha.edu

Mark E. Wohar

Professor Wohar's areas of research include, Domestic and International Macroeconomics, International Finance, Monetary Theory and Financial Economics, Financial Institutions, and Applied Time Series Econometrics. He has published over 120 refereed journal articles. Some of his more noteworthy publications have appeared in journals such as the American Economic Review, Economic Journal, Journal of Finance, Journal of International Economics, Economic Inquiry, Journal of Applied Econometrics, Journal of Forecasting, International Journal of Forecasting, Review of Economics and Statistics, and Journal of Money, Credit and Banking. His research has been cited by more than 950 papers of other authors. He has received many awards for research excellence. Wohar has presented his research at a number of Universities (both in the US and abroad), including Kansas State University, Michigan State University, University of New Orleans, University of Notre Dame, Ohio State University, University of Washington, University of California-San Diego, Southern Methodist University, University of Wisconsin-Madison, University of Syracuse, University of Illinois, University of Essex, Cambridge University, University of Warwick, University of Nottingham, University of Durham, Cass Business School-London, University of Kansas, University of California at Davis, among others.

Table of contents (13 chapters)

  • Stock Return and Inflation: An Analysis Based on the State-Space Framework

    Levant, Jared (et al.)

    Pages 1-13

  • Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets

    Kim, Kihwan (et al.)

    Pages 15-31

  • Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks

    Lee, Tae-Hwy (et al.)

    Pages 33-57

  • On the Use of the Flexible Fourier Form in Unit Root Tests, Endogenous Breaks, and Parameter Instability

    Jones, Paul M. (et al.)

    Pages 59-83

  • Testing for a Markov-Switching Mean in Serially Correlated Data

    Morley, James (et al.)

    Pages 85-97

Buy this book

eBook $139.00
price for USA (gross)
  • ISBN 978-1-4614-8060-0
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $179.00
price for USA
  • ISBN 978-1-4614-8059-4
  • with online files
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $179.00
price for USA
  • ISBN 978-1-4939-5259-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Recent Advances in Estimating Nonlinear Models
Book Subtitle
With Applications in Economics and Finance
Editors
  • Jun Ma
  • Mark Wohar
Copyright
2014
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-1-4614-8060-0
DOI
10.1007/978-1-4614-8060-0
Hardcover ISBN
978-1-4614-8059-4
Softcover ISBN
978-1-4939-5259-5
Edition Number
1
Number of Pages
XVI, 299
Number of Illustrations and Tables
15 b/w illustrations, 24 illustrations in colour
Topics