Uncertainty, Expectations and Asset Price Dynamics Essays in Honor of Georges Prat /

• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Άλλοι συγγραφείς: Jawadi, Fredj (Επιμελητής έκδοσης, http://id.loc.gov/vocabulary/relators/edt)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2018.
• Έκδοση: 1st ed. 2018.
• Σειρά: Dynamic Modeling and Econometrics in Economics and Finance, 24
• Θέματα: Macroeconomics.; Behavioral economics.; Econometrics.; Economics, Mathematical .; Financial crises.; Macroeconomics/Monetary Economics//Financial Economics.; Behavioral Finance.; Quantitative Finance.; Financial Crises.

Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effe...

Πίνακας περιεχομένων:

• Preface (Fredj Jawadi)
• Interview with Georges Prat (Fredj Jawadi)
• Part I: Uncertainty and Volatility
• Uncertainty or stationarity in financial and macroeconomic time series? Evidence from Fourier approximated structural changes. (William A. Barnett, Qing Han)
• Oil market volatility: Is macroeconomic uncertainty systematically transmitted to oil prices? (Marc Joëts, Valérie Mignon, Tovonony Razafindrabe)
• Part II: Heterogeneity of Beliefs and Information
• Heterogeneous beliefs and asset price dynamics: A survey of recent evidence (Saskia ter Elleny, Willem F.C. Verschoor)
• High-frequency trading in the equity markets during U.S. treasury POMO (Cheng Gao, Bruce Mizrach)
• Part III: Transmission and Market Integration
• Crude oil and biofuel agricultural commodity prices (Semei Coronado, Omar Rojas, Rafael Romero-Meza, Apostolos Serletis, Leslie Verteramo Chiu)
• Financial integration and business cycle synchronization in Sub-Saharan Africa (Julian Acalin, Bruno Cabrillac, Gilles Dufrénot, Luc Jacolin, Samuel Diop)
• Part IV: Fundamentals and Bubbles
• Informational efficiency and endogenous rational bubbles (George A. Waters)
• Stock market bubble migration: From Shanghai to Hong Kong (Eric Girardin, Roselyne Joyeux, Shuping Shi)
• A comparative study on international portfolio flows to Asian stock markets in a nonlinear perspective (Ayben Koy).