Nonlinear Time Series and Finance

The application of nonlinear time series models in economic and finance has expanded rapidly lately. Thus, it becomes important to disseminate the latest research to scholars, practitioners and graduate students interested in this field. This is the main purpose of this book, which offers a collection of studies related to economics and finance.

  The behavior of complex economic and financial markets has been modeled beyond traditional economics theory by borrowing techniques from fields such as physics, statistics or mathematics. Examples of such techniques include the Brownian motion, fractals, and the application of nonparametric statistics, among others.

  This book is comprised by eleven chapters. All works were peer reviewed Six of those chapters contain applied research on Mexico. Other chapters focus on methodological issues and on applications of nonlinear time series models to diverse problems, all related to the economy and finance. One exception is the work by He and Kyaw, on which linear models are applied to analyze public Chinese firms. He and Kyaw along with Gevorkyan and Gevorkyan were invited authors as recipients of the best paper award in the International Business and Economy Conferences 2011 and 2012 (Hawaii, USA and Caen, France). Their submissions were also peer reviewed.

  A total of twenty four authors representing nineteen institutions contributed in this book Affiliations of authors include Cornell University (NY, USA); Virginia Tech (Virginia, USA); Instituto Politécnico Nacional (Mexico City and Zacatenco, México); Instituto Tecnológico de Estudios Superiores de Monterrey (Guadalajara, Mexico); Universidad Nacional Autónoma de México (Mexico City, México); Marist College (NY, USA); New School University (NY, USA); Columbia University (NY, USA); Mississippi State University (Mississippi, USA); University of Groningen (The Netherlands); Universidad de Salamanca (Miguel de Unamuno, Salamanca, Spain); Australian National University (Australia); CIRANO (Canada); Iona College (NY, USA); Universidad Panamericana (Guadalajara, México); New York University (NY, USA); Universidad Autónoma Metropolitana (Mexico City, México); and The European Central Bank (Frankfurt, Germany). We hope this collection of chapters, containing original research, sheds some light on current applications to economic and financial behavior on diverse markets.