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.

chapter |7 pages


Edited ByJulien Chevallier, Stéphane Goutte, David Guerreiro, Sophie Saglio, Bilel Sanhaji

part 1|52 pages

Commodities finance and market performance

chapter 1|25 pages

Forecasting price distributions in the German electricity market

BySjur Westgaard, Florentina Paraschiv, Lina Lassesen Ekern, Ingrid Naustdal, Malene Roland

chapter 2|25 pages

Forecasting crude oil price dynamics based on investor attention

Evidence from the ARMAX and ARMAX-GARCH models
ByTing Yao, Yue-Jun Zhang

part 2|164 pages

International economics and finance

chapter 3|36 pages

Contagion dynamics on financial networks *

ByMonica Billio, Roberto Casarin, Michele Costola, Lorenzo Frattarolo

chapter 4|34 pages

Quantifying informational linkages in a global model of currency spot markets

ByMatthew Greenwood-Nimmo, Viet Nguyen, Yongcheol Shin

chapter 5|27 pages

Smooth break, non-linearity, and speculative bubbles

New evidence of the G7 stock markets
ByShyh-Wei Chen, Zixiong Xie

chapter 6|40 pages

The Continuum-GMM estimation

Theory and application
ByRachidi Kotchoni, Marine Carrasco

chapter 7|25 pages

Seasonal long memory in intra-day volatility and trading volume of Dow Jones stocks

ByMichelle Voges, Christian Leschinski, Philipp Sibbertsen

part 3|195 pages

Meta-analysis in economics and finance

chapter 8|59 pages

The disinflation effect of central bank independence

A comparative meta-analysis between transition economies and the rest of the world
ByIchiro Iwasaki, Akira Uegaki

chapter 9|30 pages

Is there really causality between inflation and inflation uncertainty?

ByJamal Bouoiyour, Refk Selmi

chapter 10|20 pages

More R&D with tax incentives? *

A meta-analysis
ByElīna Gaillard-Ladinska, Mariëlle Non, Bas Straathof

chapter 11|46 pages

Political cycles

What does a meta-analysis reveal about?
ByAntoine Cazals, Pierre Mandon

chapter 12|38 pages

Market efficiency in Asian and Australasian stock markets

A fresh look at the evidence
ByJae Kim, Hristos Doucouliagos, T.D. Stanley