International Financial Markets Volume 1 Routledge Advances in Applied Financial Econometrics Series
Coordonnateurs : Chevallier Julien, Goutte Stéphane, Guerreiro David, Saglio Sophie, Sanhaji Bilel
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
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
Date de parution : 06-2019
Disponible chez l'éditeur (délai d'approvisionnement : 13 jours).
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