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State-space methods --- Time-series analysis

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Within the subprime crisis (2007) and the recent global financial crisis of 2008-2009, we have observed significant decline, corrections and structural changes in most US and European financial markets. Furthermore, it seems that this crisis has been rapidly transmitted toward the most developed and emerging countries and has strongly affected the whole economy. This volume aims to present recent researches in linear and nonlinear modelling of economic and financial time-series. The several discussions of empirical results of its chapters clearly help to improve the understanding of the financial mechanisms inherent to this crisis. They also yield an important overview on the sources of the financial crisis and its main economic and financial consequences. The book provides the audience a comprehensive understanding of financial and economic dynamics in various aspects using modern financial econometric methods. It addresses the empirical techniques needed by economic agents to analyze the dynamics of these markets and illustrates how they can be applied to the actual data. It also presents and discusses new research findings and their implications.

Econometric models. --- Time-series analysis. --- Econometrics. --- Finance --- Nonlinear theories.

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Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally. Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of fin

Econometrics. --- Time-series analysis. --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities --- Economics, Mathematical --- Statistics

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Time-series analysis. --- Econometric models. --- Nonlinear theories. --- Série chronologique --- Modèles économétriques --- Théories non linéaires

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Time-series analysis --- Macroeconomics --- Econometric models --- Time-series analysis. --- Makroökonomie. --- Makroökonomik. --- Ökonometrisches Makromodell. --- Ökonometrisches Modell. --- Zeitreihenanalyse. --- Econometric models. --- tijdreeksanalyse --- econometrie --- forecasting --- -339.015195 --- Economics --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities --- 339.015195 --- Macroeconomics - Econometric models