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Recent Econometric Techniques for Macroeconomic and Financial Data

  • Gilles Dufrénot
  • Takashi Matsuki

Part of the Dynamic Modeling and Econometrics in Economics and Finance book series (DMEF, volume 27)

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Macroeconometrics

  3. Financial Econometrics

    1. Front Matter
      Pages 197-197
    2. Jean-François Carpantier
      Pages 199-227
    3. Marcel Aloy, Floris Laly, Sébastien Laurent, Christelle Lecourt
      Pages 229-264
    4. Guglielmo Maria Caporale, Luis A. Gil-Alana, Carlos Poza
      Pages 293-302
    5. Aditi Chaubal
      Pages 315-353
    6. Arthur Charpentier, Emmanuel Flachaire
      Pages 355-387

About this book

Introduction

The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models.


The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.


Keywords

Quantile Spectrum and Copulas Dynamic Hierarchical Factor Models Nonlinear Models Time-varying Models Econometrics of Commodities Conditional Beta Models Common Factors Contagion and Latent Component Models Multivariate Garch Models

Editors and affiliations

  • Gilles Dufrénot
    • 1
  • Takashi Matsuki
    • 2
  1. 1.Aix-Marseille UniversityMarseilleFrance
  2. 2.Osaka Gakuin UniversityOsakaJapan

Bibliographic information