International Financial Markets: Volume 1

ISBN-13: 9780367785567 / Angielski / Miękka / 2021 / 426 str.

Julien Chevallier; St?phane Goutte; David Guerreiro

Opis

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.

Spis treści

Introduction.  Part 1: Commodities Finance and Market Performance.  1. Forecasting Price Distributions in the German Electricity Market.  2. Forecasting crude oil price dynamics based on investor attention: Evidence from the ARMAX and ARMAX-GARCH models.  Part 2: International Economics and Finance.  3. Contagion Dynamics on Financial Networks.  4. Quantifying Informational Linkages in a Global Model of Currency Spot Markets.  5. Smooth break, non-linearity, and speculative bubbles: New evidence of the G7 stock markets.  6. The Continuum-GMM Estimation: Theory and Application.  7. Seasonal long memory in intra-day volatility and trading volume of Dow Jones stocks.  Part 3: Meta-Analysis in Economics and Finance.  8. The Disinflation Effect of Central Bank Independence: A Comparative Meta-analysis between Transition Economies and the Rest of the World.  9. Is there really causality between inflation and inflation uncertainty?.  10. More R&D with tax incentives? A meta-analysis.  11. Political Cycles: What Does a Meta-Analysis Reveal about?.  12. Market Efficiency in Asian and Australasian Stock Markets: A Fresh Look at the Evidence.  Index

O autorze

Julien Chevallier is Full Professor of Economics at the University Paris 8 (LED), France. He undertakes research and lectures on empirical finance, applied time-series econometrics, and commodity markets. He has published articles in leading refereed journals.

Stephane Goutte is a Maître de Conférences-HDR of Financial Mathematics at University Paris 8, France and Senior Lecturer in Mathematics at University of Luxembourg. He is also a researcher at the Chair European Electricity Markets of Paris Dauphine PSL University.

David Guerreiro is an Assistant Professor of Economics at the University Paris 8 (LED), France. His fields of research are International Macroeconomics, Monetary Economics and Meta-Analysis and he has published in numerous peer-reviewed journals.

Sophie Saglio is an Assistant Professor of Economics at the University Paris 8 (LED), France. Her research focuses on international economics and finance and she has published in various peer-reviewed journals.

Bilel Sanhaji is an Assistant Professor of Economics at the University Paris 8 (LED), France. His main research focuses on nonlinear time series econometrics and modelling volatility. He has published theoretical and applied research papers in various peer-reviewed journal.