International Financial Markets (eBook, ePUB)

Volume 1
Redaktion: Chevallier, Julien; Sanhaji, Bilel; Saglio, Sophie; Guerreiro, David; Goutte, Stéphane

• Format: ePub

Produktbeschreibung

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.

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Produktdetails

• Verlag: Taylor & Francis
• Seitenzahl: 438
• Erscheinungstermin: 28. Juni 2019
• Englisch
• ISBN-13: 9781351669207
• Artikelnr.: 57070388

Autorenporträt

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.

Inhaltsangabe

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