國立虎尾科技大學 |

Recent Econometric Techniques for Macroeconomic and Financial Data

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Recent Econometric Techniques for Macroeconomic and Financial Data/ edited by Gilles Dufrénot, Takashi Matsuki.
other author:	Dufrénot, Gilles.
Description:	XIV, 387 p. 150 illus., 57 illus. in color.online resource. :
Contained By:	Springer Nature eBook
Subject:	Econometrics. -
Online resource:	https://doi.org/10.1007/978-3-030-54252-8
ISBN:	9783030542528

Recent Econometric Techniques for Macroeconomic and Financial Data
Recent Econometric Techniques for Macroeconomic and Financial Data[electronic resource] /edited by Gilles Dufrénot, Takashi Matsuki. - 1st ed. 2021. - XIV, 387 p. 150 illus., 57 illus. in color.online resource. - Dynamic Modeling and Econometrics in Economics and Finance,272363-8370 ;. - Dynamic Modeling and Econometrics in Economics and Finance,19.

Introduction (Gilles Dufrénot 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 Dufrénot, Takashi Matsuki and Kimiko Sugimoto) -- Chapter 2. On the seemingly incompleteness of the exchange rate pass-through to import prices (Antonia Lopez-Villavicencio and Valérie Mignon) -- Chapter 3. A state-space model to estimate potential growth in the industrialized countries (Thomas Brand, Gilles Dufrénot, 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-François Carpantier) -- Chapter 8. Conditional Beta of real estate (Marcel Aloy, Sébastien 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 Lévy models (Stéphane 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

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

556981
Econometrics.

LC Class. No.: HB139-141

Dewey Class. No.: 330.015195

Recent Econometric Techniques for Macroeconomic and Financial Data
LDR:04300nam a22004095i 4500 001 1049148
003 DE-He213
005 20210820040440.0
007 cr nn 008mamaa
008 220103s2021 sz | s |||| 0|eng d
020 $a 9783030542528 $9 978-3-030-54252-8
024 7 $a 10.1007/978-3-030-54252-8 $2 doi
035 $a 978-3-030-54252-8
050 4 $a HB139-141
072 7 $a KCH $2 bicssc
072 7 $a BUS021000 $2 bisacsh
072 7 $a KCH $2 thema
082 0 4 $a 330.015195 $2 23
245 1 0 $a Recent Econometric Techniques for Macroeconomic and Financial Data $h [electronic resource] / $c edited by Gilles Dufrénot, Takashi Matsuki.
250 $a 1st ed. 2021.
264 1 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2021.
300 $a XIV, 387 p. 150 illus., 57 illus. in color. $b online resource.
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
347 $a text file $b PDF $2 rda
490 1 $a Dynamic Modeling and Econometrics in Economics and Finance, $x 2363-8370 ; $v 27
505 0 $a Introduction (Gilles Dufrénot 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 Dufrénot, Takashi Matsuki and Kimiko Sugimoto) -- Chapter 2. On the seemingly incompleteness of the exchange rate pass-through to import prices (Antonia Lopez-Villavicencio and Valérie Mignon) -- Chapter 3. A state-space model to estimate potential growth in the industrialized countries (Thomas Brand, Gilles Dufrénot, 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-François Carpantier) -- Chapter 8. Conditional Beta of real estate (Marcel Aloy, Sébastien 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 Lévy models (Stéphane 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.
650 0 $a Econometrics. $3 556981
650 0 $a Economics, Mathematical . $3 1253712
650 0 $a Macroeconomics. $3 554837
650 0 $a Capital market. $3 556702
650 0 $a Statistics . $3 1253516
650 2 4 $a Quantitative Finance. $3 669372
650 2 4 $a Macroeconomics/Monetary Economics//Financial Economics. $3 1069052
650 2 4 $a Capital Markets. $3 1106532
650 2 4 $a Statistics for Business, Management, Economics, Finance, Insurance. $3 1211158
700 1 $a Dufrénot, Gilles. $e editor. $4 edt $4 http://id.loc.gov/vocabulary/relators/edt $3 1353193
700 1 $a Matsuki, Takashi. $e editor. $4 edt $4 http://id.loc.gov/vocabulary/relators/edt $3 1353194
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer Nature eBook
776 0 8 $i Printed edition: $z 9783030542511
776 0 8 $i Printed edition: $z 9783030542535
776 0 8 $i Printed edition: $z 9783030542542
830 0 $a Dynamic Modeling and Econometrics in Economics and Finance, $x 1566-0419 ; $v 19 $3 1254878
856 4 0 $u https://doi.org/10.1007/978-3-030-54252-8
912 $a ZDB-2-ECF
912 $a ZDB-2-SXEF
950 $a Economics and Finance (SpringerNature-41170)
950 $a Economics and Finance (R0) (SpringerNature-43720)