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© 2014

Recent Advances in Estimating Nonlinear Models

With Applications in Economics and Finance

  • Jun Ma
  • Mark Wohar
Book

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

Introduction

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.

Keywords

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

About the editors

Jun Ma

Professor Ma’s primary research interests are Macroeconomics, International Finance, Asset Pricing, and Time Series Econometrics. He has published in journals such as Journal of International Economics, Journal of Money, Credit, and Banking, Journal of Economic Dynamics and Control, Studies in Nonlinear Dynamics and Econometrics, Journal of Banking and Finance, and European Journal of Finance. He was a visiting scholar at Norges Bank (the central bank of Norway) and has been invited to present his research work at central banks and universities, including Norges Bank, Federal Reserve Bank of St. Louis, University of Washington, Virginia Tech, University of Houston, University of Kansas, and University of Nebraska at Omaha.

Department of Economic, Finance, and Legal Studies University of Alabama Tuscaloosa, AL 35487 USA jma@cba.ua.edu Mark E. Wohar Department of Economics University of Nebraska-Omaha RH 512K Omaha, NE 68182 mwohar@mail.unomaha.edu

Mark E. Wohar

Professor Wohar's areas of research include, Domestic and International Macroeconomics, International Finance, Monetary Theory and Financial Economics, Financial Institutions, and Applied Time Series Econometrics. He has published over 120 refereed journal articles. Some of his more noteworthy publications have appeared in journals such as the American Economic Review, Economic Journal, Journal of Finance, Journal of International Economics, Economic Inquiry, Journal of Applied Econometrics, Journal of Forecasting, International Journal of Forecasting, Review of Economics and Statistics, and Journal of Money, Credit and Banking. His research has been cited by more than 950 papers of other authors. He has received many awards for research excellence. Wohar has presented his research at a number of Universities (both in the US and abroad), including Kansas State University, Michigan State University, University of New Orleans, University of Notre Dame, Ohio State University, University of Washington, University of California-San Diego, Southern Methodist University, University of Wisconsin-Madison, University of Syracuse, University of Illinois, University of Essex, Cambridge University, University of Warwick, University of Nottingham, University of Durham, Cass Business School-London, University of Kansas, University of California at Davis, among others.

Bibliographic information

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