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Author: Máximo Cosme Camacho Alonso
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Author: Máximo Cosme Camacho Alonso
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Author: Máximo Cosme Camacho Alonso
Publisher:
ISBN:
Category :
Languages : en
Pages : 122
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Author: Youngsoo Bae
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Category :
Languages : en
Pages : 0
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Author: Novella Maugeri
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Category :
Languages : en
Pages :
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Author: David Henry Bowman
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Category :
Languages : en
Pages : 230
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Author: Michael K. Gavin
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Category :
Languages : en
Pages : 414
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Author: Sara Alizadeh Miyandoab
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Category :
Languages : en
Pages :
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Author: Pablo Matias Pincheira Brown
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Category :
Languages : en
Pages : 204
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Author: Bebonchu Atems
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Category :
Languages : en
Pages : 145
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Book Description
This dissertation consists of three essays in nonlinear macroeconomic modeling and econometrics. In the first essay, we decompose oil price movements into oil demand (stock market) shocks and oil supply (oil-market) shocks, and examine the response of the stock market to these shocks. We find that when oil prices are "net-increasing", a stock market shock that causes the SetP 500 to rise by one percentage point will cause the price of oil to rise approximately 0.2 percentage points, with a statistically significant positive effect one day after the stock market shock. On the other hand, the response of the stock market to an oil market shock is a decline of 6.8 percent when the price of oil doubles. For other days, the initial response of the oil market to a stock market shock is the same as in the net oil price increase case (by construction). .
Author: Roberto Dieci
Publisher: Springer
ISBN: 3319074709
Category : Business & Economics
Languages : en
Pages : 384
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Book Description
This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.
