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International Financial Markets Volume 1 Routledge Advances in Applied Financial Econometrics Series

Langue : Anglais

Coordonnateurs : Chevallier Julien, Goutte Stéphane, Guerreiro David, Saglio Sophie, Sanhaji Bilel

Couverture de l’ouvrage International Financial Markets

This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics.

International Financial Markets: Volume I provides a key repository on the current state of knowledge, the latest debates and recent literature on international financial markets. Against the background of the "financialization of commodities" since the 2008 sub-primes crisis, section one contains recent contributions on commodity and financial markets, pushing the frontiers of applied econometrics techniques. The second section is devoted to exchange rate and current account dynamics in an environment characterized by large global imbalances. Part three examines the latest research in the field of meta-analysis in economics and finance.

This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

List of Contributors

Introduction

Section I: Commodities Finance and Market Performance

1. Long Memory and Asymmetry in Commodity Returns and Risk: The Role of Term Spread

Steven J. Cochran, Iqbal Mansur, Babatunde Odusami

2. The Quantile-Heterogeneous Autoregressive Model of Realized Volatility: New Evidence from Commodity Markets

Konstantin Kuck, Robert Maderitsch

3. The Importance of Rollover in Commodity Returns using PARCH modelsMenelaos Karanasos,

PanagiotisKoutroumpis, Zannis Margaronis, Rajat Nath

4. Forecasting Price Distributions in the German Electricity Market

Sjur Westgaard, Florentina Paraschiv, Lina Lassesen Ekern, Ingrid Naustdal, Malene Roland

5. Forecasting crude oil price dynamics based on investor attention: Evidence from the ARMAX and ARMAX-GARCH models

Ting Yao, Yue-Jun Zhang  

Section II: International Economics and Finance

6. Contagion Dynamics on Financial Networks

Monica Billio, Roberto Casarin, Michele Costola, Lorenzo Frattarolo

7. Quantifying Informational Linkages in a Global Model of Currency Spot Markets

Matthew Greenwood-Nimmo, Viet Nguyen, Yongcheol Shin

8. Smooth break, non-linearity, and speculative bubbles: New evidence of the G7 stock markets

Shyh-Wei Chen, Zixiong Xie

9. The Continuum-GMM Estimation: Theory and Application

Rachidi Kotchoni, Marine Carrasco

10. Seasonal long memory in intra-day volatility and trading volume of Dow Jones stocks

Michelle Voges, Christian Leschinski, Philipp Sibbertsen 

Section III: Meta-Analysis in Economics and Finance

11. The Disinflation Effect of Central Bank Independence: A Comparative Meta-analysis between Transition Economies and the Rest of the World

Ichiro Iwasaki, Akira Uegaki

12. Is there really causality between inflation and inflation uncertainty?

Jamal Bouoiyour, Refk Selmi

13. More R&D with tax incentives? A meta-analysis

Elīna Gaillard-Ladinska, Mariëlle Non, Bas Straathof

14. Political Cycles: What Does a Meta-Analysis Reveal about?

Antoine Cazals, Pierre Mandon

15. Market Efficiency in Asian and Australasian Stock Markets: A Fresh Look at the Evidence

Jae Kim, Hristos Doucouliagos, T.D. Stanley

Index

Date de parution :

15.6x23.4 cm

Disponible chez l'éditeur (délai d'approvisionnement : 13 jours).

Prix indicatif 195,46 €

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