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Nonlinear Dynamics and Economics

Nonlinear Dynamics and Economics
Proceedings of the Tenth International Symposium in Economic Theory and Econometrics

£98.00

Part of International Symposia in Economic Theory and Econometrics

Alfredo Medio, Giorgio Negroni, Gerald Silverberg, Doris Lehnert, Mark Salmon, Paolo Guarda, Apostolos Serletis, Paul Dormaar, Kehong Wen, William A. Barnett, A. Ronald Gallant, Melvin J. Hinich, Jochen Jungeilges, Daniel Kaplan, Mark J. Jensen, W. D. Dechert, Ted Jaditz, Chera Sayers, Thomas J. Taylor, Timo Teräsvirta, Richard Ashley, Douglas Patterson, Ping Chen, Philip Rothman, Barbara A. Bailey, Bruce Mizrach, Steve Satchell, Allan Timmermann, Thanasis Stengos
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  • Date Published: February 1997
  • availability: Available
  • format: Hardback
  • isbn: 9780521471411

£ 98.00
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  • Nonlinear Dynamics and Economics, first published in 1997, presents developments in nonlinear economic dynamics along with related research from associated fields, including mathematics, statistics, biology, and physics. Specific areas covered include instability in economic theory, nonlinearity in financial markets, tests for nonlinearity and chaos, frequency domain methods, nonlinear business cycles, and nonlinear prediction and forecasting. This volume comprises the tenth in the International Symposia in Economic Theory and Econometrics series under the general editorship of William Barnett. This proceedings volume includes revisions of the most important papers presented at a conference held at the European University Institute in Florence on July 6-17, 1992, along with revisions of the related, invited papers presented at the annual meetings of the American Statistical Association held in San Francisco on August 8-12, 1993.

    • State-of-the-art collection of rigorously reviewed and edited papers on key subjects in economics
    • Contributors include leading scholars from North America, the United Kingdom, and Europe
    • Applications are drawn from hot topics such as chaos theory, business cycles and growth, and prediction and forecasting
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    Reviews & endorsements

    '… this is an excellent collection of articles, and should be of great interest to both economic theorists and econometricians with an interest in non-linearity and chaos.' Robert Taylor, The Economic Journal

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    Product details

    • Date Published: February 1997
    • format: Hardback
    • isbn: 9780521471411
    • length: 422 pages
    • dimensions: 236 x 162 x 28 mm
    • weight: 0.77kg
    • contains: 138 b/w illus. 64 tables
    • availability: Available
  • Table of Contents

    Part I. Instability in Economic Theory:
    1. Chaotic dynamics in overlapping generations models with production Alfredo Medio and Giorgio Negroni
    2. 'Evolutionary chaos': growth fluctuations in a Schumpeterian model of creative destruction Gerald Silverberg and Doris Lehnert
    Part II. Nonlinearity in Financial Markets:
    3. On the detection of nonlinearity in foreign exchange data Mark Salmon and Paolo Guarda
    4. Chaos and nonlinear dynamics in future markets Apostolos Serletis and Paul Dormaar
    5. Continuous-time chaos in stock market dynamics Kehong Wen
    Part III. Tests for Nonlinearity and Chaos:
    6. An experimental design to compare tests of nonlinearity and chaos William A. Barnett, A. Ronald Gallant, Melvin J. Hinich, Jochen Jungeilges, Daniel Kaplan, and Mark J. Jensen
    7. Testing time series for nonlinearities: the BDS approach W. D. Dechert
    8. Searching for non-linearity in mean and variance Ted Jaditz and Chera Sayers
    9. Operational characteristics of White's test for neglected nonlinearities J. A. Jungeilges
    10. On time series, stochastic and chaotic Thomas J. Taylor
    11. Linearity testing and nonlinear modelling of economic time series Timo Teräsvirta
    Part IV. Frequency Domain Methods and Nonlinear Business Cycles:
    12. On the importance of being nonlinear: a frequency-domain approach to nonlinear model identification and estimation Richard Ashley and Douglas Patterson
    13. Trends, shocks, persistent cycles in evolving economy: business cycle measurement in time-frequency representation Ping Chen
    14. International evidence of business cycle nonlinearity Philip Rothman
    Part V. Nonlinear Prediction and Forecasting:
    15. Local Lyapunov exponents: predictability depends on where you are Barbara A. Bailey
    16. Forecasting realignments: the case of the French franc in the ERM Bruce Mizrach
    17. Daily returns in international stock markets: predictability, nonlinearity, and transaction costs Steve Satchell and Allan Timmermann
    18. Nonparametric forecasts of gold rates of return Thanasis Stengos.

  • Authors

    William A. Barnett, Washington University, St Louis

    Alan P. Kirman, Université d'Aix-Marseille

    Mark Salmon, European University Institute, Florence

    Contributors

    Alfredo Medio, Giorgio Negroni, Gerald Silverberg, Doris Lehnert, Mark Salmon, Paolo Guarda, Apostolos Serletis, Paul Dormaar, Kehong Wen, William A. Barnett, A. Ronald Gallant, Melvin J. Hinich, Jochen Jungeilges, Daniel Kaplan, Mark J. Jensen, W. D. Dechert, Ted Jaditz, Chera Sayers, Thomas J. Taylor, Timo Teräsvirta, Richard Ashley, Douglas Patterson, Ping Chen, Philip Rothman, Barbara A. Bailey, Bruce Mizrach, Steve Satchell, Allan Timmermann, Thanasis Stengos

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