Asian Financial Crisis and Subprime Crisis : Econometric Mehodology Год выпуска: 2014Автор: Nadhem Selmi and Nejib HachichaИздательство: LAP Lambert Academic PublishingСтраниц: 84ISBN: 9783659247576Описание This book, explores the characteristics associated with the stock market that occurred in the Hong Kong in 1997 to 2000. The evidence of a long memory in volatility, however, shows that uncertainty or risk is a significant determinant of the behavior of daily stock data in the Hong Kong stock market. The FIGARCH process implies a finite persistence of volatility shocks while the GARCH structure doesn’t. Nonetheless, an IGARCH model implies a total persistence of shock. We examine and forecast the House Price Index (HPI) and mortgage market rate in terms of the description of the subprime crisis. We use a semi-parametric local polynomial Whittle estimator proposed by Shimotsu et al. (2005) in a long memory parameter time series.
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Владимир Сейчас получил доклад и раздатку, так что все хорошо. Огромное спасибо за отлично сделанную работу и за Ваш ответственный подход к делу. При такой хорошей дипломной работе мне будет стыдно плохо ее защитить. Еще раз спасибо. После защиты обязательно отчитаюсь о результате. С наступающим Рождеством.
