Recent Advances in Estimating Nonlinear Models

With Applications in Economics and Finance

  • Jun Ma
  • Mark Wohar

Table of contents

  1. Front Matter
    Pages i-xvi
  2. Yamin Ahmad, Ming Chien Lo
    Pages 99-121
  3. Marcelle Chauvet, Yanpin Su
    Pages 123-146
  4. Hendrik Kaufmann, Robinson Kruse, Philipp Sibbertsen
    Pages 169-191
  5. P. A. V. B. Swamy, J. S. Mehta, G. S. Tavlas, S. G. Hall
    Pages 193-228
  6. Ximing Wu, Andreas Savvides, Thanasis Stengos
    Pages 249-279

About this book


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 Models and Smooth Transition Models to analyze economic series, and how best to distinguish between competing nonlinear models. Most economic theory suggests that the economic relationships among economic variables in the real world are fairly complex and nonlinear. Nonlinear models are necessary to capture these important channels through which economic variables can influence each other and various policies can affect economic activities. This volume features cutting-edge research from leading academics in economics, finance, and business management. The principles and techniques used here will appeal to econometricians, finance professors teaching quantitative finance, researchers, and graduate students interested in learning how to apply advances in nonlinear time series modeling to solve complex problems in economics and finance.


Markov-switching models Nonlinear models Smooth transition Threshold models Time series analysis

Editors and affiliations

  • Jun Ma
    • 1
  • Mark Wohar
    • 2
  1. 1.Department of EconomicsUniversity of AlabamaTuscaloosaUSA
  2. 2.Department of EconomicsUniversity of Nebraska - OmahaOmahaUSA

Bibliographic information

  • DOI
  • Copyright Information Springer Science+Business Media New York 2014
  • Publisher Name Springer, New York, NY
  • eBook Packages Business and Economics
  • Print ISBN 978-1-4614-8059-4
  • Online ISBN 978-1-4614-8060-0
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking