Bücher der Reihe Dynamic Modeling and Econometrics in Economics and Finance

Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts.

The uneven geographical distribution of economic activities is a huge challenge worldwide and also for the European Union. In Krugman's New Economic Geography economic systems have a simple spatial structure. At the highest level, economic geography models give a bird eye's view of spatial dynamics.

This contributed volume combines approaches of the current inequality debate with aspects of finance based on profound macroeconomic model analyses. With the financial crisis from 2007, not only output decreased tremendously, but also inequality has risen since then.

The purpose of Dynamic Programming in Economics is twofold: (a) to provide a rigorous, but not too complicated, treatment of optimal growth models in infinite discrete time horizon, (b) to train the reader to the use of optimal growth models and hence to help him to go further in his research.

Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade.

This book demonstrates how public debt shows feedback effects affecting economic growth and welfare. It gives insights into the sustainability of public debt in developed and developing countries.

Some recent developments in the mathematics of optimization, including the concepts of invexity and quasimax, have not yet been applied to models of economic growth, and to finance and investment. Their applications to these areas are shown in this book.

Empirical Studies on Volatility in International Stock Markets describes the existing techniques for the measurement and estimation of volatility in international stock markets with emphasis on the SV model and its empirical application.

Provides the reader with both the statistical background and the software tools for detecting nonlinear behavior in time series data. This book describes various detection techniques including Engle's LaGrange Multiplier test for conditional hetero-skedasticity and tests based on the correlation dimension and on the estimated bispectrum.

The basic characteristic of Modern Linear and Nonlinear Econometrics is that it presents a unified approach of modern linear and nonlinear econometrics in a concise and intuitive way.