Asian Financial Crisis and Subprime Crisis : Econometric Mehodology

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.

Autorentext

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.