Detailansicht
Asian Financial Crisis and Subprime Crisis : Econometric Mehodology
ISBN/EAN: 9783659247576
Umbreit-Nr.: 6485320
Sprache:
Englisch
Umfang: 84 S.
Format in cm: 0.6 x 22 x 15
Einband:
kartoniertes Buch
Erschienen am 10.07.2014
Auflage: 1/2014
- Zusatztext
- This book, explores the characteristics associated with the stock market that occurred in the Hong Kong in 1997 to 2000. The evidence of a long memory in volatility, however, shows that uncertainty or risk is a significant determinant of the behavior of daily stock data in the Hong Kong stock market. The FIGARCH process implies a finite persistence of volatility shocks while the GARCH structure doesnt. Nonetheless, an IGARCH model implies a total persistence of shock. We examine and forecast the House Price Index (HPI) and mortgage market rate in terms of the description of the subprime crisis. We use a semi-parametric local polynomial Whittle estimator proposed by Shimotsu et al. (2005) in a long memory parameter time series.
- Autorenportrait
- Nadhem Selmi, Doctor in Quantitative Methods. He prepared his book as co-supervised Nejib Hachicha Professor in Quantitative Methods at the University of Sfax in Tunisia. His primary research interests are in contagion of financial crisis, long memory process, GARCH process, and structural change process.