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001432665 001__ 1432665
001432665 003__ OCoLC
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001432665 019__ $$a1224142566$$a1228844010$$a1228922310$$a1238203289
001432665 020__ $$a9783030542528$$q(electronic bk.)
001432665 020__ $$a3030542521$$q(electronic bk.)
001432665 020__ $$a3030542513
001432665 020__ $$a9783030542511
001432665 0247_ $$a10.1007/978-3-030-54252-8$$2doi
001432665 035__ $$aSP(OCoLC)1224363368
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001432665 049__ $$aISEA
001432665 050_4 $$aHB139
001432665 08204 $$a330.015195$$223
001432665 24500 $$aRecent econometric techniques for macroeconomic and financial data /$$cGilles Dufrénot, Takashi Matsuki, editors.
001432665 260__ $$aCham :$$bSpringer,$$c2021.
001432665 300__ $$a1 online resource (391 pages)
001432665 336__ $$atext$$btxt$$2rdacontent
001432665 337__ $$acomputer$$bc$$2rdamedia
001432665 338__ $$aonline resource$$bcr$$2rdacarrier
001432665 347__ $$atext file
001432665 347__ $$bPDF
001432665 4901_ $$aDynamic Modeling and Econometrics in Economics and Finance ;$$vv. 27
001432665 500__ $$aAppendix 1 Unit Root and Cointegration Tests in the Linear Model.
001432665 504__ $$aIncludes bibliographical references.
001432665 5050_ $$aIntro -- Introduction -- Contributions in First Part: Macroeconometrics -- Contributions in Second Part: Financial Econometrics -- Contents -- Contributors -- Macroeconometrics -- Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series -- 1 Introduction -- 2 Harmonic Regression Models and Laplace Periodograms -- 3 Sample and Smoothed Laplace Periodogram -- 4 Copula-Based Periodogram and Rank-Based Laplace Periodogram -- 5 The Multivariate Case -- 6 Empirical Example -- 7 Conclusion -- References
001432665 5058_ $$aOn the Seemingly Incompleteness of Exchange Rate Pass-Through to Import Prices: Do Globalization and/or Regional Trade Matter? -- 1 Introduction -- 2 Methodology -- 3 Data -- 3.1 Time Sample -- 3.2 Variables -- 3.3 Indicators of Globalization -- 3.4 Descriptive Statistics -- 4 Results -- 4.1 Accounting for Globalization -- 4.2 Using Disaggregated Data: Accounting for the Good Level -- 4.3 Accounting for Globalization at the Good Level -- 5 Conclusion -- 6 Appendix -- References -- A State-Space Model to Estimate Potential Growth in the Industrialized Countries -- 1 Introduction
001432665 5058_ $$a2 A State-Space Model with Theoretical Relationships -- 2.1 The General Model -- 2.2 Sub-models and Comparison with Other Models Used in the Literature -- 2.3 Estimation Method -- 3 Results -- 4 Conclusion -- References -- Detecting Tranquil and Bubble Periods in Housing Markets: A Review and Application of Statistical Methods -- 1 Introduction -- 2 The Theoretical Concept of Rational Bubbles -- 3 Econometric Methods -- 3.1 Classical Approaches -- 3.2 Explosive Unit Root Tests -- 3.3 Panel Approach -- 3.4 T-ARDL Model -- 4 Empirics -- 4.1 Data -- 4.2 Classical Test Approaches
001432665 5058_ $$a4.3 Explosive Test Approaches -- 4.4 T-ARDL Approach -- 4.5 Discussion -- 5 Conclusion -- References -- An Analysis of the Time-Varying Behavior of the Equilibrium Velocity of Money in the Euro Area -- 1 Motivation -- 2 The Inflation Puzzle and Money Velocity in the EA: Theoretical and Empirical Issues -- 3 Methodology -- 3.1 State-Space Models and Time-Varying Parameter Models -- 3.2 A Panel Time-Varying State-Space Extension -- 3.3 A Time-Varying Parameter Model for the M3 Velocity -- 4 Results -- 4.1 Univariate Properties of the Data -- 4.2 M3 Velocity Panel TVP Model Estimation
001432665 5058_ $$a5 Conclusions -- References -- Revisiting Wealth Effects in France: A Double-Nonlinearity Approach -- 1 Introduction -- 2 Econometric Methodology -- 2.1 Linear Cointegration Specification for Wealth Effects -- 2.2 Threshold ECM Specification for Wealth Effects -- 2.3 Time-Varying VECM Specification for Wealth Effects -- 3 Data and Empirical Analysis -- 3.1 Data and Preliminary Analysis -- 3.2 The Linear Cointegration Analysis -- 3.3 Nonlinear Cointegration with Asymmetric Adjustment -- 3.4 NECMs with Nonlinearity in the Long Run -- 4 Conclusion
001432665 506__ $$aAccess limited to authorized users.
001432665 520__ $$aThe book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models. The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.
001432665 588__ $$aDescription based on print version record.
001432665 650_0 $$aEconometrics.
001432665 650_0 $$aMacroeconomics.
001432665 650_0 $$aTime-series analysis.
001432665 650_6 $$aÉconométrie.
001432665 650_6 $$aMacroéconomie.
001432665 650_6 $$aSérie chronologique.
001432665 655_0 $$aElectronic books.
001432665 7001_ $$aDufrénot, Gilles.
001432665 7001_ $$aMatsuki, Takashi.
001432665 77608 $$iPrint version:$$aDufrénot, Gilles$$tRecent Econometric Techniques for Macroeconomic and Financial Data$$dCham : Springer International Publishing AG,c2021$$z9783030542511
001432665 830_0 $$aDynamic modeling and econometrics in economics and finance ;$$vv. 27.
001432665 852__ $$bebk
001432665 85640 $$3Springer Nature$$uhttps://univsouthin.idm.oclc.org/login?url=https://link.springer.com/10.1007/978-3-030-54252-8$$zOnline Access$$91397441.1
001432665 909CO $$ooai:library.usi.edu:1432665$$pGLOBAL_SET
001432665 980__ $$aBIB
001432665 980__ $$aEBOOK
001432665 982__ $$aEbook
001432665 983__ $$aOnline
001432665 994__ $$a92$$bISE