Nonlinear modeling of economic and financial time-series / edited by Fredj Jawadi, William A. Barnett.

Within the subprime crisis (2007) and the recent global financial crisis of 2008-2009, we have observed significant decline, corrections and structural changes in most US and European financial markets. Furthermore, it seems that this crisis has been rapidly transmitted toward the most developed and...

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Bibliographic Details
Online Access: Full Text (via ProQuest)
Other Authors: Jawadi, Fredj, Barnett, William A.
Format: eBook
Language:English
Published: Bingley, U.K. : Emerald, 2010.
Series:International symposia in economic theory and econometrics ; 20.
Subjects:
Table of Contents:
  • Introduction / Fredj Jawadi, William A. Barnett
  • ch. 1. Collateralizable wealth, asset returns, and systemic risk : international evidence / Ricardo M. Sousa
  • ch. 2. Nonlinear stock market links between Mexico and the world / Mohamed El Hedi Arouri, Fredj Jawadi
  • ch. 3. Dynamic linkages between global macro hedge funds and traditional financial assets / Wafa Kammoun Masmoudi
  • ch. 4. Copula theory applied to hedge funds dependence structure determination / Rania Hentati, Jean-Luc Prigent
  • ch. 5. European exchange rate credibility : an empirical analysis / Iuliana Matei
  • ch. 6. Oil prices and exchange rates : some new evidence using linear and nonlinear models / Mohamed El Hedi Arouri, Fredj Jawadi
  • ch. 7. Sources of European growth externalities : a two-step approach / Sébastien Pommier, Fabien Rondeau
  • ch. 8. Alternative methods for forecasting GDP / Dominique Guégan, Patrick Rakotomarolahy
  • ch. 9. GARCH models with CPPI application / Hachmi Ben Ameur.