Nonlinear Dynamics and Economics
Proceedings of the Tenth International Symposium in Economic Theory and Econometrics
Published on 28. October 1996
Book
Hardback
422 pages
978-0-521-47141-1 (ISBN)
Description
Nonlinear Dynamics and Economics, first published in 1997, presents developments in nonlinear economic dynamics along with related research from associated fields, including mathematics, statistics, biology, and physics. Specific areas covered include instability in economic theory, nonlinearity in financial markets, tests for nonlinearity and chaos, frequency domain methods, nonlinear business cycles, and nonlinear prediction and forecasting. This volume comprises the tenth in the International Symposia in Economic Theory and Econometrics series under the general editorship of William Barnett. This proceedings volume includes revisions of the most important papers presented at a conference held at the European University Institute in Florence on July 6-17, 1992, along with revisions of the related, invited papers presented at the annual meetings of the American Statistical Association held in San Francisco on August 8-12, 1993.
Reviews / Votes
'... this is an excellent collection of articles, and should be of great interest to both economic theorists and econometricians with an interest in non-linearity and chaos.' Robert Taylor, The Economic JournalMore details
Series
Language
English
Place of publication
Cambridge
United Kingdom
Target group
Professional and scholarly
Illustrations
64 Tables, unspecified; 138 Line drawings, unspecified
Dimensions
Height: 235 mm
Width: 157 mm
Thickness: 29 mm
Weight
832 gr
ISBN-13
978-0-521-47141-1 (9780521471411)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Persons
Content
Part I. Instability in Economic Theory: 1. Chaotic dynamics in overlapping generations models with production Alfredo Medio and Giorgio Negroni; 2. 'Evolutionary chaos': growth fluctuations in a Schumpeterian model of creative destruction Gerald Silverberg and Doris Lehnert; Part II. Nonlinearity in Financial Markets: 3. On the detection of nonlinearity in foreign exchange data Mark Salmon and Paolo Guarda; 4. Chaos and nonlinear dynamics in future markets Apostolos Serletis and Paul Dormaar; 5. Continuous-time chaos in stock market dynamics Kehong Wen; Part III. Tests for Nonlinearity and Chaos: 6. An experimental design to compare tests of nonlinearity and chaos William A. Barnett, A. Ronald Gallant, Melvin J. Hinich, Jochen Jungeilges, Daniel Kaplan, and Mark J. Jensen; 7. Testing time series for nonlinearities: the BDS approach W. D. Dechert; 8. Searching for non-linearity in mean and variance Ted Jaditz and Chera Sayers; 9. Operational characteristics of White's test for neglected nonlinearities J. A. Jungeilges; 10. On time series, stochastic and chaotic Thomas J. Taylor; 11. Linearity testing and nonlinear modelling of economic time series Timo Teraesvirta; Part IV. Frequency Domain Methods and Nonlinear Business Cycles: 12. On the importance of being nonlinear: a frequency-domain approach to nonlinear model identification and estimation Richard Ashley and Douglas Patterson; 13. Trends, shocks, persistent cycles in evolving economy: business cycle measurement in time-frequency representation Ping Chen; 14. International evidence of business cycle nonlinearity Philip Rothman; Part V. Nonlinear Prediction and Forecasting: 15. Local Lyapunov exponents: predictability depends on where you are Barbara A. Bailey; 16. Forecasting realignments: the case of the French franc in the ERM Bruce Mizrach; 17. Daily returns in international stock markets: predictability, nonlinearity, and transaction costs Steve Satchell and Allan Timmermann; 18. Nonparametric forecasts of gold rates of return Thanasis Stengos.