- Format
- Häftad (Paperback / softback)
- Språk
- Engelska
- Antal sidor
- 265
- Utgivningsdatum
- 1997-05-01
- Upplaga
- 1997 ed.
- Förlag
- Springer-Verlag Berlin and Heidelberg GmbH & Co. K
- Illustratör/Fotograf
- 15 Tab 21 Abb
- Illustrationer
- X, 265 p.
- Dimensioner
- 234 x 156 x 15 mm
- Vikt
- Antal komponenter
- 1
- Komponenter
- 1 Paperback / softback
- ISSN
- 0075-8442
- ISBN
- 9783540626299
- 395 g
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Rational Bubbles
Theoretical Basis, Economic Relevance, and Empirical Evidence with a Special Emphasis on the German Stock Market
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1 Introduction.- 2 On the Theoretical Derivability of Rational Bubbles.- 2.1 Statistical framework.- 2.2 Rational expectations.- 2.3 Solution procedure.- 2.3.1 Particular solution.- 2.3.1.1 Forward and backward solution.- 2.3.1.2 Explicit particular solutions.- 2.3.1.3 Summary.- 2.3.2 General solution.- 2.4 Bubble processes.- 2.4.1 Markovian bubbles.- 2.4.1.1 Deterministic bubble.- 2.4.1.2 Near random walk bubble.- 2.4.1.3 Bursting bubble.- 2.4.2 Intrinsic bubbles.- 2.4.2.1 Fundamentals as a random walk.- 2.4.2.2 Fundamentals as ARMA-processes.- 2.4.3 Extrinsic bubbles.- 2.4.4 Theoretical caveats.- 2.4.5 Summary.- 3 On the Economic Relevance of Rational Bubbles.- 3.1 Capital markets.- 3.1.1 Efficient capital markets.- 3.1.2 Rational bubbles on capital markets.- 3.1.3 Economic caveats.- 3.2 Foreign exchange markets.- 3.3 Hyperinflation.- 4 On Testing for Rational Bubbles.- 4.1 Indirect tests.- 4.1.1 Variance bounds tests.- 4.1.2 Specification tests.- 4.1.3 Integration and cointegration tests.- 4.1.4 Final assessment of indirect tests.- 4.1.5 A digression: Charemza, Deadman (1995) analysis.- 4.2 Direct tests.- 4.2.1 Deterministic bubble in German hyperinflation.- 4.2.2 Intrinsic bubbles on stock markets.- 4.2.3 An econometric caveat.- 4.2.4 Final assessment of direct tests.- 5 On the Explanatory Power of Rational Bubbles on the German Stock Market.- 5.1 Data.- 5.2 Direct test for rational bubbles.- 5.2.1 Temporary Markovian bubbles.- 5.2.2 Temporary intrinsic bubbles.- 5.2.3 Permanent intrinsic bubbles.- 5.3 A digression: Testing for unit roots.- 6 Concluding Remarks.- A Results.- A.1 Temporary markovian bubbles.- A.2 Temporary intrinsic bubbles.- A.3 Permanent intrinsic bubbles - Class 1 to 2.- A.4 Permanent intrinsic bubbles - Class 3 to 6.- A.5 Integration tests.- A.5.1 Preliminary regression of endogenous processes.- A.5.2 Preliminary regression of exogenous processes.- A.5.3 Testing for unit roots in levels.- A.5.4 Testing for unit roots in logs.- B Distributional Properties and Critical Values.- B.1 Distributional properties of t-statistics.- B.2 Critical values of t-statistics.- List of Figures.- List of Tables.