Asian Financial Crisis and Subprime Crisis : Econometric Mehodology - Selmi, Nadhem;Hachicha, Nejib
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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…mehr

Produktbeschreibung
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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Autorenporträt
Nadhem SELMINé le 17 Avril 1981 à Kairouan-TunisieNadhem Selmi est titulaire d¿un doctorat en Méthodes Quantitatives spécialité économétrie.Actuellement il enseigne à L'institut des Hautes Etudes Commerciales de Sfax au département des méthodes quantitatives.