Bookcover of Asian Financial Crisis and Subprime Crisis : Econometric Mehodology
Booktitle:

Asian Financial Crisis and Subprime Crisis : Econometric Mehodology

LAP LAMBERT Academic Publishing (2014-03-17 )

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ISBN-13:

978-3-659-24757-6

ISBN-10:
365924757X
EAN:
9783659247576
Book language:
English
Blurb/Shorttext:
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.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
Nadhem Selmi, Nejib Hachicha
Number of pages:
84
Published on:
2014-03-17
Stock:
Available
Category:
Methods of the empirical and qualitative social research
Price:
39.90 €
Keywords:
Financial Crisis, cointegration, Long memory, subprime crisis

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