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Essays in Nonlinear Time Series Econometrics

Niels Haldrup, Mika Meitz, and Pentti Saikkonen (eds)

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199679959
eISBN:
9780191760136
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679959.001.0001
Subject:
Economics and Finance, Econometrics

This book is a collection of 14 original research articles presented at the conference Nonlinear Time Series Econometrics that was held in Ebeltoft, Denmark, in June 2012. The conference gathered ... More


Common Nonlinearities in Multiple Series of Stock Market Volatility

Heather M. Anderson and Farshid Vahid

in Essays in Nonlinear Time Series Econometrics

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199679959
eISBN:
9780191760136
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679959.003.0004
Subject:
Economics and Finance, Econometrics

Decreases in stock market returns often lead to higher increases in volatility than increases in returns of the same magnitude, and it is common to incorporate these so-called leverage effects in ... More


Balance Sheet Recessions and Time-Varying Coefficients in a Phillips Curve Relationship: An Application to Finnish Data

KatarinaM Juselius and Mikael Juselius

in Essays in Nonlinear Time Series Econometrics

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199679959
eISBN:
9780191760136
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679959.003.0005
Subject:
Economics and Finance, Econometrics

Edmund Phelps (1994) introduced a modified Phillips curve where the natural rate of unemployment is a function of the real interest rate instead of a constant. Koo (2010) argues that the effect of ... More


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