Within the subprime crisis (2007) and the recent global financial crisis of 2008-2009, we have observed significant decline, corrections and structural changes in most US and European financial markets. Furthermore, it seems that this crisis has been rapidly transmitted toward the most developed...

Presents researches in linear and nonlinear modelling of economic and financial time-series. This book provides a comprehensive understanding of financial and economic dynamics in various aspects using modern financial econometric methods. It also presents and discusses research findings and...

We propose a Solovian growth model with a convex concave production function and international technological spillovers. We test the empirical implications of the model, analysing the effects of the productivity slowdown that followed the oil shocks of the 1970s. We argue that this slowdown,...

Purpose – The aim of this chapter is to examine the constant proportion portfolio insurance (CPPI) method when the multiple is allowed to vary over. Methodology/approach – A quantile approach is introduced under the dependent return hypothesis. We use for example ARCH-type models. Findings...

Purpose – The purpose of this chapter is twofold: to forecast gross domestic product (GDP) using nonparametric method, known as multivariate k-nearest neighbors method, and to provide asymptotic properties for this method. Methodology/approach – We consider monthly and quarterly...

Purpose: Following the theoretical literature on growth model with externalities, the chapter aims at finding empirical evidence of the main sources of economic interdependencies in Europe. Methodology/approach: A two-step econometric procedure is adopted. In the first step, in order to evaluate...