Recent Advances in Estimating Nonlinear Models With Applications in
This edited volume provides a timely overview of nonlinear estimation techniques, offering new methods and insights into nonlinear time series analysis. The focus is on such topics as state-space model and the identification issue, use of Markov Switching
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Recent Advances in Estimating Nonlinear Models With Applications in Economics and Finance
Recent Advances in Estimating Nonlinear Models
Jun Ma • Mark Wohar Editors
Recent Advances in Estimating Nonlinear Models With Applications in Economics and Finance
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Editors Jun Ma Department of Economics, Finance and Legal Studies University of Alabama Tuscaloosa, USA
Mark Wohar Department of Economics University of Nebraska – Omaha Omaha, USA
ISBN 978-1-4614-8059-4 ISBN 978-1-4614-8060-0 (eBook) DOI 10.1007/978-1-4614-8060-0 Springer New York Heidelberg Dordrecht London Library of Congress Control Number: 2013947683 © Springer Science+Business Media New York 2014 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Preface
In the past few decades there has been a surge of interest in modeling of economic relationships using nonlinear models. Economic theory often suggests that the relationships between major economic and financial variables are nonlinear. For example, the law of one price starts to apply only when the deviation from it generates enough profits to exceed the involved transaction or transportation costs in the arbitrage activities (see, e.g., Michael, Nobay, and Peel (1997) Lo and Zivot (2001)). It is also often argued that business cycles are asymme
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