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Dynamic Modeling and Econometrics in Economics and Finance

Uncertainty, Expectations and Asset Price Dynamics

Essays in Honor of Georges Prat

Editors: Jawadi, Fredj (Ed.)

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  • Discusses irrational expectations
  • Evaluates expectation processes for asset price forecasts
  • Analyzes asset price fundamentals
  • Proposes new tests for bubbles
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eBook $109.00
price for USA in USD (gross)
  • ISBN 978-3-319-98714-9
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $139.99
price for USA in USD
  • ISBN 978-3-319-98713-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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 effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.

About the authors

Fredj Jawadi is a Full Professor of Finance at the University of Lille, France, and was an Associate Professor of Finance at the University of Evry-Paris Saclay from 2010 to 2018. Currently, he is an Associate Researcher at EconomiX-CNRS and Deputy Director for the Cliometrics and Complexity team (CAC) at the IXXI Complex Systems Institute, France as well as Fellow for the Society of Economic Measurement (US), Fellow at the Economic Research Forum (ERF) in Egypt and Charter Fellow at the Institute for Nonlinear Dynamical Inference (INDI) in Russia. He specializes in finance and applied econometrics. He is the author of several books and international journal papers.

Table of contents (8 chapters)

Table of contents (8 chapters)
  • Uncertainty and Stationarity in Financial and Macroeconomic Time Series—Evidence from Fourier Approximated Structural Changes

    Pages 3-29

    Barnett, William A. (et al.)

  • Oil Market Volatility: Is Macroeconomic Uncertainty Systematically Transmitted to Oil Prices?

    Pages 31-50

    Joëts, Marc (et al.)

  • Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence

    Pages 53-79

    Ellen, Saskia ter (et al.)

  • High Frequency Trading in the Equity Markets During US Treasury POMO

    Pages 81-103

    Gao, Cheng (et al.)

  • Crude Oil and Biofuel Agricultural Commodity Prices

    Pages 107-123

    Coronado, Semei (et al.)

Buy this book

eBook $109.00
price for USA in USD (gross)
  • ISBN 978-3-319-98714-9
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $139.99
price for USA in USD
  • ISBN 978-3-319-98713-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Uncertainty, Expectations and Asset Price Dynamics
Book Subtitle
Essays in Honor of Georges Prat
Editors
  • Fredj Jawadi
Series Title
Dynamic Modeling and Econometrics in Economics and Finance
Series Volume
24
Copyright
2018
Publisher
Springer International Publishing
Copyright Holder
Springer Nature Switzerland AG
eBook ISBN
978-3-319-98714-9
DOI
10.1007/978-3-319-98714-9
Hardcover ISBN
978-3-319-98713-2
Series ISSN
1566-0419
Edition Number
1
Number of Pages
XXX, 192
Number of Illustrations
28 b/w illustrations
Topics