System Dynamics in Economic and Financial Models
Published on 21. November 1997
Book
Hardback
398 pages
978-0-471-96934-1 (ISBN)
Description
The 12 articles presented in this book have different approaches for the modelling of economic and financial processes. The topics cover a range of subjects (complex dynamics, nonlinear time series models, cointegration) and applications in the field of finance and macro economics. The articles are grouped according to the methods being applied. In the first group the authors are concerned with nonlinear dynamics; the papers in the second group are more empirically oriented; the last group contains papers on time series modelling in macro economics, with special attention for the aspect of nonstationarity. The book is intended to be one of discussion and debate on themes of common interest in economics, finance and dynamical systems. It examines the different approaches for the modelling of economic and financial processes so as to stimulate the communication of ideas and to overcome the barriers of specialization.
More details
Series
Language
English
Place of publication
Chichester
United Kingdom
Publishing group
John Wiley and Sons Ltd
Target group
Professional and scholarly
Dimensions
Height: 237 mm
Width: 158 mm
Thickness: 27 mm
Weight
680 gr
ISBN-13
978-0-471-96934-1 (9780471969341)
Copyright in bibliographic data is held by Nielsen Book Services Limited or its licensors: all rights reserved.
Schweitzer Classification
Persons
All four editors hold senior positions in econometric departments in The Netherlands, and share a common background in mathematical system theory. Dr Christiaan Heij is at the Erasmus University Rotterdam. Professor Dr Hans Schumacher is at the CWI, Amsterdam and Tilburg University, Dr Bernard Hanzon at the Free University of Amsterdam, and Dr Kees Praagman at the University of Groningen.
Content
NON-LINEAR DYNAMICS IN ECONOMIC AND FINANCIAL MODELS. Models of Complexity in Economics and Finance (W. Brock C. Hommes). Non-linear Dynamics and Predictability in the Austrian Stock Market (E. Dockner, et al.). Predictability and Economic Time Series (P. Ormerod M. Campbell). NON-LINEARITIES IN EMPIRICAL MODELLING. Smooth Transition Models (T. Terasvirta). Empirical Behaviour of Interest-Rate Models (J. Moraleda A. Vorst). Data-Based Mechanistic Modelling (P. Young D. Pedregal). TRENDS AND NON-STATIONARITY. Cointegration Analysis (H. Bierens). The Relationship Between Money and Prices: An Econometric Appraisal Based on Cointegration and Causality (M. Funke, et al.). Multivariate Structural Time Series Models (A. Harvey S. Koopman). Impulse Response Analysis of Vector Autoregressive Processes (H. L; tkepohl J. Breitung). Data Transformations and Detrending in Econometrics (D. Pollock). Index.