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.
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