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International Financial Markets

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advanced financial econometric techniques
applied econometrics
ARMA GARCH Model
BMA Analysis
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CAViaR Models
central bank independence effects
commodities finance
commodity futures
commodity price modelling
Conditional Moment Restriction
Crude Oil Returns
DJIA Index
econometrics
economics meta analysis
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ESTAR Model
exchange rate dynamics
Fat
financial contagion analysis
financial econometric techniques
FSU Country
G7 Stock Markets
GBP Exchange Rate
global imbalances
Google Search Volume
Granger Causality
GSVI
GVAR Model
Inflation Uncertainty
international financial markets
international macroeconomics
Linear Unit Root Tests
Logistic Smooth Transition
meta-analysis in economics
modelling correlations
non-parametric
parametric
Publication Selection Bias
Quantile Regression
stochastic
Trading Volume Data
Unit Root Tests
VaR Forecast
VR Estimate
WTI Crude Oil Price

Product details

  • ISBN 9780367785567
  • Weight: 612g
  • Dimensions: 156 x 234mm
  • Publication Date: 31 Mar 2021
  • Publisher: Taylor & Francis Ltd
  • Publication City/Country: GB
  • Product Form: Paperback
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Description

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.
About

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.