Asian Financial Crisis and Subprime Crisis : Econometric Mehodology
978-3-659-24757-6
365924757X
84
2014-03-17
39,90 €
eng
https://images.our-assets.com/cover/230x230/9783659247576.jpg
https://images.our-assets.com/fullcover/230x230/9783659247576.jpg
https://images.our-assets.com/cover/2000x/9783659247576.jpg
https://images.our-assets.com/fullcover/2000x/9783659247576.jpg
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 doesn’t. 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.
https://www.morebooks.de/books/de/published_by/lap-lambert-academic-publishing/47/products
Methoden der empirischen und qualitativen Sozialforschung
https://www.morebooks.de/store/de/book/asian-financial-crisis-and-subprime-crisis-:-econometric-mehodology/isbn/978-3-659-24757-6