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.
Table of Contents
About the Editors
List of Contributors
Part 1: Commodities Finance and Market Performance
1. Forecasting Price Distributions in the German Electricity Market
Sjur Westgaard, Florentina Paraschiv, Lina Lassesen Ekern, Ingrid Naustdal, Malene Roland
2. Forecasting crude oil price dynamics based on investor attention: Evidence from the ARMAX and ARMAX-GARCH models
Ting Yao, Yue-Jun Zhang
Part 2: International Economics and Finance
3. Contagion Dynamics on Financial Networks
Monica Billio, Roberto Casarin, Michele Costola, Lorenzo Frattarolo
4. Quantifying Informational Linkages in a Global Model of Currency Spot Markets
Matthew Greenwood-Nimmo, Viet Nguyen, Yongcheol Shin
5. Smooth break, non-linearity, and speculative bubbles: New evidence of the G7 stock markets
Shyh-Wei Chen, Zixiong Xie
6. The Continuum-GMM Estimation: Theory and Application
Rachidi Kotchoni, Marine Carrasco
7. Seasonal long memory in intra-day volatility and trading volume of Dow Jones stocks
Michelle Voges, Christian Leschinski, Philipp Sibbertsen
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
Ichiro Iwasaki, Akira Uegaki
9. Is there really causality between inflation and inflation uncertainty?
Jamal Bouoiyour, Refk Selmi
10. More R&D with tax incentives? A meta-analysis
Elīna Gaillard-Ladinska, Mariëlle Non, Bas Straathof
11. Political Cycles: What Does a Meta-Analysis Reveal about?
Antoine Cazals, Pierre Mandon
12. Market Efficiency in Asian and Australasian Stock Markets: A Fresh Look at the Evidence
Jae Kim, Hristos Doucouliagos, Tom Stanley
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.