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System Dynamics in Economic and Financial Models

System Dynamics in Economic and Financial Models

Christiaan Heij (Editor), Hans Schumacher (Editor), Bernard Hanzon (Editor), Kees Praagman (Editor)

ISBN: 978-0-470-86046-5

Jan 1998

398 pages

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$140.99

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Description

System Dynamics in Economic and Financial Models Edited by Christiaan Heij, Hans Schumacher, Bernard Hanzon and Kees Praagman System Dynamics in Economic and Financial Models discusses different approaches for dynamic modelling of economic and financial data, and includes empirical applications, particularly in finance and macroeconomics, to illustrate the methods discussed. Written by leading experts from a wide range of backgrounds, varying from econometries and finance to systems and control, each chapter is followed by a comments section that presents alternative and sometimes contrasting points of view. The authors look at the interface between economics and finance, and examine topics including
  • non-linear dynamics
  • chaos
  • structural change
  • trends and cointegration
  • general methodologies in empirical modelling
NON-LINEAR DYNAMICS IN ECONOMIC AND FINANCIAL MODELS.
Models of Complexity in Economics and Finance (W. Brock C. Hommes).
Non-linear Dynamics and Predictability in the Austrian Stock Market (E. Dockner, et al.).
Predictability and Economic Time Series (P. Ormerod M. Campbell).
NON-LINEARITIES IN EMPIRICAL MODELLING.
Smooth Transition Models (T. Terásvirta).
Empirical Behaviour of Interest-Rate Models (J. Moraleda A. Vorst).
Data-Based Mechanistic Modelling (P. Young D. Pedregal).
TRENDS AND NON-STATIONARITY.
Cointegration Analysis (H. Bierens).
The Relationship Between Money and Prices: An Econometric Appraisal Based on Cointegration and Causality (M. Funke, et al.).
Multivariate Structural Time Series Models (A. Harvey S. Koopman).
Impulse Response Analysis of Vector Autoregressive Processes (H. Lütkepohl J. Breitung).
Data Transformations and Detrending in Econometrics (D. Pollock).
Index.