Asian Financial Crisis and Subprime Crisis : Econometric Mehodology

Zusatztext

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 doesnt. 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.

Autorenportrait

Nadhem Selmi, Doctor in Quantitative Methods. He prepared his book as co-supervised Nejib Hachicha Professor in Quantitative Methods at the University of Sfax in Tunisia. His primary research interests are in contagion of financial crisis, long memory process, GARCH process, and structural change process.

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