Dynamic Modeling and Econometrics in Economics and Finance

Recent Econometric Techniques for Macroeconomic and Financial Data

Editors: Dufrénot, Gilles, Matsuki, Takashi (Eds.)

Free Preview
  • Applies econometric methods to a wide range of issues in macroeconomics and financial economics 
  • Offers new tools for studying non-linear and non-stationary behaviors 
  • Explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization
see more benefits

Buy this book

eBook 96,29 €
price for Spain (gross)
  • ISBN 978-3-030-54252-8
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 124,79 €
price for Spain (gross)
  • ISBN 978-3-030-54251-1
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
  • The final prices may differ from the prices shown due to specifics of VAT rules
About this book

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.


About the authors

Gilles Dufrénot is a Professor of Economics at Aix-Marseille School of Economics in France. His main fields of interest are applied econometrics in macroeconomics and finance. He has published in international journals including the Journal of Economic dynamics and Control, Macroeconomic Dynamics, Journal of International Money and finance, Oxford Economic Papers. He has been a guest editor for several journals on issues related to nonlinear dynamics, macroeconometrics and computational economics.

 

Takeshi Matsuki is a Professor of Econometrics and Statistics at the University of Osaka-Gakuin in Japan. He specializes in forecasting methods, nonlinear systems and nonstationary panels in economics and finance. He has proposed new techniques for investigating international spillovers in international markets, channeling quantitative easing policies and identifying structural breaks in economic time series.


Table of contents (14 chapters)

Table of contents (14 chapters)
  • Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series

    Pages 3-34

    Dufrénot, Gilles (et al.)

  • On the Seemingly Incompleteness of Exchange Rate Pass-Through to Import Prices: Do Globalization and/or Regional Trade Matter?

    Pages 35-59

    López-Villavicencio, Antonia (et al.)

  • A State-Space Model to Estimate Potential Growth in the Industrialized Countries

    Pages 61-77

    Brand, Thomas (et al.)

  • Detecting Tranquil and Bubble Periods in Housing Markets: A Review and Application of Statistical Methods

    Pages 79-111

    Nagayasu, Jun

  • An Analysis of the Time-Varying Behavior of the Equilibrium Velocity of Money in the Euro Area

    Pages 113-146

    Camarero, Mariam (et al.)

Buy this book

eBook 96,29 €
price for Spain (gross)
  • ISBN 978-3-030-54252-8
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 124,79 €
price for Spain (gross)
  • ISBN 978-3-030-54251-1
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
  • The final prices may differ from the prices shown due to specifics of VAT rules
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Recent Econometric Techniques for Macroeconomic and Financial Data
Editors
  • Gilles Dufrénot
  • Takashi Matsuki
Series Title
Dynamic Modeling and Econometrics in Economics and Finance
Series Volume
27
Copyright
2021
Publisher
Springer International Publishing
Copyright Holder
Springer Nature Switzerland AG
eBook ISBN
978-3-030-54252-8
DOI
10.1007/978-3-030-54252-8
Hardcover ISBN
978-3-030-54251-1
Series ISSN
1566-0419
Edition Number
1
Number of Pages
XIV, 387
Number of Illustrations
93 b/w illustrations, 57 illustrations in colour
Topics