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

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...

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Médium: Elektronický zdroj E-kniha
Jazyk:English
Vydavateľské údaje: Cham : Springer International Publishing, 2018.
Vydanie:1st ed. 2018.
Edícia:Dynamic Modeling and Econometrics in Economics and Finance, 24
Predmet:
Macroeconomics.
Behavioral economics.
Econometrics.
Economics, Mathematical .
Financial crises.
ISBN:9783319987149
ISSN:1566-0419 ;
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Obsah:
  • 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).

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