International Financial Markets: Volume 1

ISBN-13: 9781138060920 / Angielski / Twarda / 2019 / 426 str.

Julien Chevallier; Stephane 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