| Asian Financial Crisis and Subprime Crisis: Econometric Mehodology Contributor(s): Selmi, Nadhem (Author), Hachicha, Nejib (Author) |
|
 |
ISBN: 365924757X ISBN-13: 9783659247576 Publisher: LAP Lambert Academic Publishing OUR PRICE: $40.94 Product Type: Paperback Published: March 2014 |
| Additional Information |
| BISAC Categories: - Social Science | Methodology |
| Physical Information: 0.2" H x 6" W x 9" (0.30 lbs) 84 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |