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Nonlinear Time Series Analysis of Economic and Financial Data

  • Book
  • © 1999

Overview

Editors:
  1. Philip Rothman

    1. East Carolina University, USA

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Part of the book series: Dynamic Modeling and Econometrics in Economics and Finance (DMEF, volume 1)

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Table of contents (16 chapters)

  1. Front Matter

    Pages i-xvi
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  2. Business Cycle Turning Points: Two Empirical Business Cycle Model Approaches

    • Andrew J. Filardo, Stephen F. Gordon
    Pages 1-32

  3. A Markov Switching Cookbook

    • Bruce Mizrach, James Watkins
    Pages 33-43

  4. A Reanalysis of the Spectral Properties of Some Economic and Financial Time Series

    • James B. Ramsey, David J. Thomson
    Pages 45-85

  5. Nonlinear Econometric Modelling: A Selective Review

    • Norman R. Swanson, Philip Hans Franses
    Pages 87-109

  6. Unit-Root Tests and Excess Returns

    • Marie-Josée Godbout, Simon van Norden
    Pages 111-128

  7. On the Inherent Nonlinearity of Frequency Dependent Time Series Relationships

    • Hui Boon Tan, Richard Ashley
    Pages 129-142

  8. Stationarity Tests with Multiple Endogenized Breaks

    • Junsoo Lee
    Pages 143-163

  9. Nonlinear Evolution In UK Stock Returns And Volume

    • Chris Brooks, Melvin J. Hinich, Michael J. Smith
    Pages 165-177

  10. Nonlinear Adjustment Towards Long-Run Money Demand

    • Panos Michael, A. Robert Nobay, David A. Peel
    Pages 179-190

  11. Asymmetric Nonlinear Smooth Transition Garch Models

    • Heather M. Anderson, Kiseok Nam, Farshid Vahid
    Pages 191-207

  12. Testing the Present Value Hypothesis from a Vector Autoregression with Stochastic Regime Switching

    • John Driffill, Martin Sola
    Pages 209-229

  13. Business Cycle Dynamics: Predicting Transitions with Macrovariables

    • Morten O. Ravn, Martin Sola
    Pages 231-265

  14. Searching for the Sources of Arch Behavior: Testing the Mixture of Distributions Model

    • Patrick de Fontnouvelle
    Pages 267-288

  15. Improved Testing and Specification of Smooth Transition Regression Models

    • Alvaro Escribano, Oscar Jordá
    Pages 289-319

  16. Speculative Behavior, Regime-Switching, and Stock Market Crashes

    • Simon van Norden, Huntley Schaller
    Pages 321-356

  17. Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test

    • Philip Rothman
    Pages 357-367

  18. Back Matter

    Pages 369-373
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Keywords

About this book

Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.

Editors and Affiliations

  • East Carolina University, USA

    Philip Rothman

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