Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance 1

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Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance

Gilles Dufrénot • Valérie Mignon

Pocket

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300 sidor
2010

This book provides new insights on nonlinear cointegration and error correction models. It seeks to bring together recent developments on the subject that are, up until today, scattered throughout the literature. The authors demonstrate the importance of NECM models for studying partial adjustment problems in macroeconomics and the efficient market hypothesis in finance. Even though papers on nonlinear cointegration are numerous a survey can still be made on the topic. This book is accessible to a large audience that includes academics working on applied econometrics, practitioners of financial markets and econometric modelling and all persons interested in time series analysis.

Författare: Gilles Dufrénot, Valérie Mignon
Format: Pocket/Paperback
ISBN: 9781441952769
Språk: Engelska
Antal sidor: 300
Utgivningsdatum: 2010-12-07
Förlag: Springer-Verlag New York Inc.