This book presents the principles and methods for the practical analysis and prediction of economic and financial time series. It covers decomposition methods, autocorrelation methods for univariate time series, volatility and duration modeling for financial time series, and multivariate time series methods, such as cointegration and recursive state space modeling. It also includes numerous practical examples to demonstrate the theory using real-world data, as well as exercises at the end of each chapter to aid understanding. This book serves as a reference text for researchers, students and practitioners interested in time series, and can also be used for university courses on econometrics or computational finance.

This book addresses central issues in evolutionary and Schumpeterian accounts of industrial competition, learning, and innovation. It contains a collection of twelve papers which are oriented toward exploring methodological issues in evolutionary and related scholarship. Reflecting the diversity of work in evolutionary scholarship, a range of methodologies are employed in the papers, including simulation, experiments, and econometric analysis. Some of the papers use well established models to takle new questions and problems. Others introduce entirely new approaches, which the authors indicate are still in a state of infancy and await further development. The collection attempts to raise even more interest in evolutionary economics, to provide some suggestions for future research directions, and to initiate a lively discussion of the issues raised.

This book is a comprehensive introduction of the reader into the simulation and modelling techniques and their application in the management of organisations. The book is rooted in the thorough understanding of systems theory applied to organisations and focuses on how this theory can apply to econometric models used in the management of organisations. The econometric models in this book employ linear and dynamic programming, graph theory, queuing theory, game theory, etc. and are presented and analysed in various fields of application, such as investment management, stock management, strategic decision making, management of production costs and the lifecycle costs of quality and non-quality products, production quality Management, etc.

This volume collects selected, peer-reviewed contributions from the 2nd Conference of the International Society for Nonparametric Statistics (ISNPS), held in Cadiz (Spain) between June 11-16 2014, and sponsored by the American Statistical Association, the Institute of Mathematical Statistics, the Bernoulli Society for Mathematical Statistics and Probability, the Journal of Nonparametric Statistics and Universidad Carlos III de Madrid. The 15 articles are a representative sample of the 336 contributed papers presented at the conference. They cover topics such as high-dimensional data modelling, inference for stochastic processes and for dependent data, nonparametric and goodness-of-fit testing, nonparametric curve estimation, object-oriented data analysis, and semiparametric inference. The aim of the ISNPS 2014 conference was to bring together recent advances and trends in several areas of nonparametric statistics in order to facilitate the exchange of research ideas, promote collaboration among researchers from around the globe, and contribute to the further development of the field.

The relevance of applied economic and social analysis stands or falls with the strength of the analytical tools, on the one hand, and the appropriateness of the underlying data framework, on the other hand. Whereas virtually all economic and sociological research focuses on the analytical tools, this book deals with the design of an appropriate data framework. In many countries, it is not so much a lack of data per se that is the problem. Official statistics often comprise a wealth of information, laid down in many different publications. The main difficulty then relates to the lack of integration of these statistics, so that all kinds of events that are interrelated in reality can only be studied in isolation. Of course, the lack of integration of statistics applies less to economic data, as the national accounts function as a coordinating information system for these data. In fact, an important aim of this book is to demonstrate that the basic principles of national accounts can and should be extended to a wider range of statistics, notably social and environmental statistics. For this purpose, a so-called System of Economic and Social Accounting Matrices and Extensions (SESAME) is designed and applied in this book, following its announcement in the 1993 System of National Accounts, the guidelines of the United Nations and other international organizations.

This book serves not only as an introduction, but also as an advanced text and reference source in the field of deterministic optimal control systems governed by ordinary differential equations. It also includes an introduction to the classical calculus of variations.
An important feature of the book is the inclusion of a large number of examples, in which the theory is applied to a wide variety of economics problems. The presentation of simple models helps illuminate pertinent qualitative and analytic points, useful when confronted with a more complex reality. These models cover: economic growth in both open and closed economies, exploitation of (non-) renewable resources, pollution control, behaviour of firms, and differential games. A great emphasis on precision pervades the book, setting it apart from the bulk of literature in this area. The rigorous techniques presented should help the reader avoid errors which often recur in the application of control theory within economics.

A complete guide to the theory and practice of volatility models in financial engineering

Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, "Handbook of Volatility Models and Their Applications" explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency.

Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility:

Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets

Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities

Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures

"Handbook of Volatility Models and Their Applications" is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.

This report is a partial result of the China's Quarterly Macroeconomic Model (CQMM), a project developed and maintained by the Center for Macroeconomic Research (CMR) at Xiamen University. The CMR, one of the Key Research Institutes of Humanities and Social Sciences sponsored by the Ministry of Education of China, has been focusing on China's economic forecast and macroeconomic policy analysis, and it started to develop the CQMM for purpose of short-term forecasting, policy analysis, and simulation in 2005. Based on the CQMM, the CMR and its partners hold press conferences to release forecasts for China's major macroeconomic variables. Since July, 2006, twenty-six quarterly reports on China's macroeconomic outlook have been presented and thirteen annual reports have been published. This report, the twenty-sixth quarterly report, has been presented at the Forum on China's Macroeconomic Outlook and Press Conference of CQMM on February 26, 2019. This conference was jointly held at Beijing by the CMR and the Economic Information Daily at Xinhua News Agency

This book explores the role of national fiscal policies in a selected group of Euro-area countries under the European Economic and Monetary Union (EMU). In particular, the authors characterize the response of output to fiscal consolidations and expansions in the small Euro-area open economies affected by high public and private debt. It is shown that the macroeconomic outcome of fiscal shocks is strongly related to debt levels. The Euro-area countries included in the investigation are Greece, Ireland, Italy, the Netherlands, Spain, and Portugal, over the sample period 1999-2016, i.e., the EMU period. The main econometric tools used in this research are structural vector autoregressive (VAR) models, including panel VAR models. The available literature relating to the subject is also fully reviewed. A further closely investigated topic is the potential spillover effects of German fiscal policies on the selected small Euro-area economies. Moreover, in the perspective of the evolution of the Euro Area towards a full Monetary and Fiscal Union, the authors study the effects of area-wide government spending shocks on aggregate output and other macroeconomic variables during the EMU period. The closing chapter of the book considers evidence on the consequences of austerity policies for European labour markets during recent years.

This book is devoted to the analysis of causal inference which is one of the most difficult tasks in data analysis: when two phenomena are observed to be related, it is often difficult to decide whether one of them causally influences the other one, or whether these two phenomena have a common cause. This analysis is the main focus of this volume. To get a good understanding of the causal inference, it is important to have models of economic phenomena which are as accurate as possible. Because of this need, this volume also contains papers that use non-traditional economic models, such as fuzzy models and models obtained by using neural networks and data mining techniques. It also contains papers that apply different econometric models to analyze real-life economic dependencies.

This book deals with microeconomic theory as it concerns general economic equilibrium and the implications for prices and resource allocation.
Students with a background in mathematics will find in this volume a broad, comprehensible overview of the ideas which have contributed to our understanding of general equilibrium.

This book fills an important gap in studies on D. D. Kosambi. For the first time, the mathematical work of Kosambi is described, collected and presented in a manner that is accessible to non-mathematicians as well. A number of his papers that are difficult to obtain in these areas are made available here. In addition, there are essays by Kosambi that have not been published earlier as well as some of his lesser known works. Each of the twenty four papers is prefaced by a commentary on the significance of the work, and where possible, extracts from technical reviews by other mathematicians.

The series is designed to bring together those mathematicians who are seriously interested in getting new challenging stimuli from economic theories with those economists who are seeking effective mathematical tools for their research. A lot of economic problems can be formulated as constrained optimizations and equilibration of their solutions. Various mathematical theories have been supplying economists with indispensable machineries for these problems arising in economic theory. Conversely, mathematicians have been stimulated by various mathematical difficulties raised by economic theories.

In this monograph the authors give a systematic approach to the probabilistic properties of the fixed point equation X=AX+B. A probabilistic study of the stochastic recurrence equation X_t=A_tX_{t-1}+B_t for real- and matrix-valued random variables A_t, where (A_t,B_t) constitute an iid sequence, is provided. The classical theory for these equations, including the existence and uniqueness of a stationary solution, the tail behavior with special emphasis on power law behavior, moments and support, is presented. The authors collect recent asymptotic results on extremes, point processes, partial sums (central limit theory with special emphasis on infinite variance stable limit theory), large deviations, in the univariate and multivariate cases, and they further touch on the related topics of smoothing transforms, regularly varying sequences and random iterative systems. The text gives an introduction to the Kesten-Goldie theory for stochastic recurrence equations of the type X_t=A_tX_{t-1}+B_t. It provides the classical results of Kesten, Goldie, Guivarc'h, and others, and gives an overview of recent results on the topic. It presents the state-of-the-art results in the field of affine stochastic recurrence equations and shows relations with non-affine recursions and multivariate regular variation.

This book examines discrete dynamical systems with memory-nonlinear systems that exist extensively in biological organisms and financial and economic organizations, and time-delay systems that can be discretized into the memorized, discrete dynamical systems. It book further discusses stability and bifurcations of time-delay dynamical systems that can be investigated through memorized dynamical systems as well as bifurcations of memorized nonlinear dynamical systems, discretization methods of time-delay systems, and periodic motions to chaos in nonlinear time-delay systems. The book helps readers find analytical solutions of MDS, change traditional perturbation analysis in time-delay systems, detect motion complexity and singularity in MDS; and determine stability, bifurcation, and chaos in any time-delay system.

This book contributes to the debate on the decoupling of emerging economies from the advanced economies with a new, empirical investigation approach. Taking counterfactual experiments performed using a time-varying panel VAR model, the author argues that over the last thirty years, emerging economies have become less vulnerable to shocks spreading from advanced economies. This resilience to external shocks has changed in a non-progressive manner over time, with phases of greater resilience followed by others of lower resilience and vice versa. This research outlines its wave-like path and presents new results that contribute to the discussion.

This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.

Contemporary economists, when analyzing economic behavior of people, need to use the diversity of research methods and modern ways of discovering knowledge. The increasing popularity of using economic experiments requires the use of IT tools and quantitative methods that facilitate the analysis of the research material obtained as a result of the experiments and the formulation of correct conclusions. This proceedings volume presents problems in contemporary economics and provides innovative solutions using a range of quantitative and experimental tools. Featuring selected contributions presented at the 2018 Computational Methods in Experimental Economics Conference (CMEE 2018), this book provides a modern economic perspective on such important issues as: sustainable development, consumption, production, national wealth, the silver economy, behavioral finance, economic and non-economic factors determining the behavior of household members, consumer preferences, social campaigns, and neuromarketing. International case studies are also offered.

Theory and application of a variety of mathematical techniques in economics are presented in this volume. Topics discussed include: martingale methods, stochastic processes, optimal stopping, the modeling of uncertainty using a Wiener process, Ito's Lemma as a tool of stochastic calculus, and basic facts about stochastic differential equations. The notion of stochastic ability and the methods of stochastic control are discussed, and their use in economic theory and finance is illustrated with numerous applications.
The applications covered include: futures, pricing, job search, stochastic capital theory, stochastic economic growth, the rational expectations hypothesis, a stochastic macroeconomic model, competitive firm under price uncertainty, the Black-Scholes option pricing theory, optimum consumption and portfolio rules, demand for index bonds, term structure of interest rates, the market risk adjustment in project valuation, demand for cash balances and an asset pricing model.

This book is summarizing the results of the workshop "Uniform Distribution and Quasi-Monte Carlo Methods" of the RICAM Special Semester on "Applications of Algebra and Number Theory" in October 2013. The survey articles in this book focus on number theoretic point constructions, uniform distribution theory, and quasi-Monte Carlo methods. As deterministic versions of the Monte Carlo method, quasi-Monte Carlo rules enjoy increasing popularity, with many fruitful applications in mathematical practice, as for example in finance, computer graphics, and biology. The goal of this book is to give an overview of recent developments in uniform distribution theory, quasi-Monte Carlo methods, and their applications, presented by leading experts in these vivid fields of research.

The Great East Japan Earthquake of March 2011 left the entire world in a state of shock. The international community was unable to fathom how a major economic power, with one of the most extensive natural disaster preparedness programs in the world, could be laid bare to such destruction. Even other highly developed countries began questioning their own abilities to handle natural disasters. Different nations have faced disasters of varying intensity throughout history, and it is in the best interests of the global community to share experiences and wisdom in order to minimize damage wrought by future catastrophes.
Based on conference proceedings presented at The Chinese University of Hong Kong in November 2012, Natural Disaster and Reconstruction in Asian Economies offers leading insight into and viewpoints on disasters from scholars and journalists working in Japan, China, the United States, and Southeast Asia. Yau Shuk-ting focuses on a broader scope of disasters, such as political, economic, social, cultural, and environmental crises, as well as psychological traumas. This work gathers together international wisdom from a variety of perspectives in the hope that nations will be better able to manage future disasters and their economic and cultural fallout.

This book focuses on the assessment of different coal gasification technologies for the utilization of Russian coals with analyses of economically feasible process chains for preparation of marketable products from high-ash coals. The work presented is important in view of the general competitiveness that marks the future of coal in the world. As the cheapest form of fuel (in comparable terms) coal will undoubtedly be in demand resources in the world. The book consists of parts which include an overview about the major coal characteristics, detailed discussion of fundamental aspects of gasification technologies and gasifiers, an introduction into annex concepts, an overview about different technologies of syngas utilization, technical and economic assessment of several coal-to-liquid and coal-to-chemicals routes, and feasibility demonstration for selected process chains. This book is addressed to the management and engineers of Russian coal companies and scientific staff of Russian research institutions working in the field of coal utilization.

Q: How many female CEOs does it take to break the glass ceiling?

A: That's the wrong question!

Numbers alone simply don't tell the real story of how women are doing in today's corporate world. Success on Our Own Terms does. It's filled with real stories — stories of ordinary women who are making an extraordinary difference in the way corporations work.

Success on Our Own Terms features women of different ages, ethnic backgrounds, and educational levels. Their combined experiences offer a fascinating portrait of how the corporate landscape has changed for women over the last few decades. This book is filled with the wisdom of these experiences, from important lessons on navigating corporate corridors and influencing the system to juggling work and personal life, helping local communities, and much more.

Exploring the multidimensional definition of success shared by these women, this book reveals how they are working hard to reach their goals, balance their lives, and make a positive contribution to society. It shows how they —and others like them —are transforming the organization from the inside out through their own unique management style, values, vision, and determination.

By designing, achieving, and owning their success, women are exploding conventional definitions of their progress in the workplace. The female voices in Success on Our Own Terms inform, encourage, and inspire us all.

"Wonderful, timely, and absolutely refreshing. Reading this book excited and inspired me, and reaffirmed my belief that the future will be a great place for women." —Sally Helgesen, author of The Female Advantage: Women's Ways of Leadership and Everyday Revolutionaries: Working Women and the Transformation of American Life

"Virginia O'Brien tells the real story —that 'we are entering a new phase in which women are becoming full participants with men in conducting the nation's business.'. . . It's a heartening read, and a good antidote to media tales of doom and gloom." —Caryl Rivers, coauthor of She Works, He Works: How Two Income Families Are Happier, Healthier, and Better Off

"A must read to understand the multidimensional new values successful women bring to the marketplace of ideas. . . . [Readers] will find themselves, a friend, or a loved one on every page." —Carol R. Goldberg, President of the Avcar Group, Ltd. and former President and COO of Stop & Shop Companies, Inc.

"Insightful and informative. This excellent work brings the stories of successful women executives to the forefront." —Charles E. Rice, Chairman and CEO, Barnett Banks, Inc.

"These are inspiring stories, which I highly recommend." —Richard McCormick, Chairman and CEO, US West, Inc.