Author: Máximo Cosme Camacho Alonso
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Three Essays in Nonlinear Macroeconometrics
Author: Máximo Cosme Camacho Alonso
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Three essays in non-linear macroeconometrics[
Author: Máximo Cosme Camacho Alonso
Publisher:
ISBN:
Category :
Languages : en
Pages : 122
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 122
Book Description
Three Essays on Nonlinear Nonstationary Econometrics and Applied Macroeconomics
Author: Youngsoo Bae
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Three Essays on Nonlinear Time-series Econometrics
Author: Novella Maugeri
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Three Essays in Macroeconomics and Finance
Author: David Henry Bowman
Publisher:
ISBN:
Category :
Languages : en
Pages : 230
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 230
Book Description
Three Essays in Macroeconomics
Author: Michael K. Gavin
Publisher:
ISBN:
Category :
Languages : en
Pages : 414
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 414
Book Description
Three Essays on Non-linear Effects in Dynamic Macroeconomic Models
Author: Sara Alizadeh Miyandoab
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Three Essays on Macroeconometrics
Author: Pablo Matias Pincheira Brown
Publisher:
ISBN:
Category :
Languages : en
Pages : 204
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 204
Book Description
Essays in Nonlinear Macroeconomic Modeling and Econometrics
Author: Bebonchu Atems
Publisher:
ISBN:
Category :
Languages : en
Pages : 145
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). .
Publisher:
ISBN:
Category :
Languages : en
Pages : 145
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). .
Nonlinear Economic Dynamics and Financial Modelling
Author: Roberto Dieci
Publisher: Springer
ISBN: 3319074709
Category : Business & Economics
Languages : en
Pages : 384
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.
Publisher: Springer
ISBN: 3319074709
Category : Business & Economics
Languages : en
Pages : 384
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.