Böcker i Dynamic Modeling and Econometrics in Economics and Finance-serien

Dynamic game theory serves the purpose of including strategic interaction in decision making and is therefore often applied to economic problems.

This book provides an investor-friendly presentation of the premises and applications of the quantitative finance models governing investment in one asset class of publicly traded stocks, specifically real estate investment trusts (REITs). The models provide highly advanced analytics for REIT investment, including: portfolio optimization using both historic and predictive return estimation; model backtesting; a complete spectrum of risk assessment and management tools with an emphasis on early warning systems, risk budgeting, estimating tail risk, and factor analysis; derivative valuation; and incorporating ESG ratings into REIT investment. These quantitative finance models are presented in a unified framework consistent with dynamic asset pricing (rational finance). Given its scope and practical orientation, this book will appeal to investors interested in portfolio optimization and innovative tools for investment risk assessment.

Topics covered include optimal control, dynamic games, economic decision-making, and applications in finance and economics, as well as policy implications in areas such as pollution regulation.

The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models.The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.

Utilising the most advanced mathematical methods in optimal control and dynamic game theory, the authors address a broad range of topics, including capital accumulation, innovations, financial decisions, population economics, environmental and resource economics, institutional change and the dynamics of addiction.

Utilising the most advanced mathematical methods in optimal control and dynamic game theory, the authors address a broad range of topics, including capital accumulation, innovations, financial decisions, population economics, environmental and resource economics, institutional change and the dynamics of addiction.

This volume collects research papers addressing topical issues in economics and management with a particular focus on dynamic models which allow to analyze and foster the decision making of firms in dynamic complex environments.

This book deals with the application of wavelet and spectral methods for the analysis of nonlinear and dynamic processes in economics and finance. It reflects some of the latest developments in the area of wavelet methods applied to 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 book presents new developments in the dynamic modeling and optimization methods in environmental economics and provides a huge range of applications dealing with the economics of natural resources, the impacts of climate change and of environmental pollution, and respective policy measures.

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

The book presents applications of stochastic calculus to derivative security pricing and interest rate modelling.

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.

In recent years nonlinearities have gained increasing importance in economic and econometric research, particularly after the financial crisis and the economic downturn after 2007. This book contains theoretical, computational and empirical papers that incorporate nonlinearities in econometric models and apply them to real economic problems.

The book examines problems associated with green growth and sustainable development on the basis of recent contributions in economics, natural sciences and applied mathematics, especially optimal control theory.

Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.