Research Catalog

Title

Nonlinear dynamics and economics : proceedings of the Tenth International Symposium in Economic Theory and Econometrics / edited by William A. Barnett, Alan P. Kirman, Mark Salmon.

Author

International Symposium in Economic Theory and Econometrics (10th : 1992 : Florence, Italy)

Publication

Cambridge ; New York : Cambridge University Press, 1996.

Items in the Library & Off-site

Holdings

Details

Additional Authors

• Barnett, William A.
• Kirman, A. P.
• Salmon, Mark.
• American Statistical Association.

Description

xi, 406 pages : illustrations; 24 cm.

Summary

• Nonlinear Dynamics and Economics presents some of the recent developments in nonlinear economic dynamics along with related research from associated fields, including mathematics, statistics, biology, and physics. This volume comprises the tenth in the International Symposia in Economic Theory and Econometrics series under the general editorship of William Barnett.
• This proceedings volume includes revisions of the most important papers presented at a conference held at the European University Institute in Florence on July 6-17, 1992, along with revisions of the related, invited papers presented at the annual meetings of the American Statistical Association held in San Francisco on August 8-12, 1993.

Series Statement

International symposia in economic theory and econometrics

Uniform Title

International symposia in economic theory and econometrics.

Subject

• Statics and dynamics (Social sciences) > Congresses
• Economics, Mathematical > Congresses
• Chaotic behavior in systems > Congresses
• Differential equations, Nonlinear > Congresses

Note

• Papers presented at a conference held at the European University in Florence, Italy, July 6-17, 1992 and invited papers presented at the annual meeting of the American Statistical Association in San Francisco Aug. 8-12, 1993.

Bibliography (note)

• Includes bibliographical references.

Contents

• 1. Chaotic dynamics in overlapping generations models with production / Alfredo Medio and Giorgio Negroni -- 2. Evolutionary chaos: Growth fluctuations in a Schumpeterian model of creative destruction / Gerald Silverberg and Doris Lehnert -- 3. Detection of nonlinearity in foreign-exchange data / Paolo Guarda and Mark Salmon -- 4. Chaos and nonlinear dynamics in futures markets / Apostolos Serletis and Paul Dormaar -- 5. Continuous-time chaos in stock market dynamics / Kehong Wen -- 6. An experimental design to compare tests of nonlinearity and chaos / William A. Barnett, A. Ronald Gallant, Melvin J. Hinich, Jochen A. Jungeilges, Daniel T. Kaplan and Mark J. Jensen -- 7. Testing time series for nonlinearities: The BDS approach / W. D. Dechert -- 8. Searching for nonlinearity in mean and variance / Ted Jaditz and Chera L. Sayers -- 9. Operational characteristics of White's test for neglected nonlinearities / J. A. Jungeilges --
• 10. Time series, stochastic and chaotic / Thomas J. Taylor -- 11. Linearity testing and nonlinear modeling of economic time series / Timo Terasvirta -- 12. The importance of being nonlinear: A frequency-domain approach to nonlinear model identification and estimation / Richard Ashley and Douglas Patterson -- 13. Trends, shocks, persistent cycles in evolving economy: Business-cycle measurement in time-frequency representation / Ping Chen -- 14. International evidence of business-cycle nonlinearity / Philip Rothman -- 15. Local Lyapunov exponents: Predictability depends on where you are / Barbara A. Bailey -- 16. Forecasting realignments: The case of the French franc in the exchange-rate mechanism / Bruce Mizrach -- 17. Daily returns in international stock markets: Predictability, nonlinearity, and transaction costs / Steve Stachell and Allan Timmermann -- 18. Nonparametric forecasts of gold rates of return / Thanasis Stengos.

ISBN

0521471419 (hardback)

LCCN

96005301

OCLC

• 34243784
• ocm34243784

Owning Institutions

Columbia University Libraries