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Uncertainty, Expectations and Asset Price Dynamics

Essays in Honor of Georges Prat

  • Fredj Jawadi

Part of the Dynamic Modeling and Econometrics in Economics and Finance book series (DMEF, volume 24)

Table of contents

  1. Front Matter
    Pages i-xxx
  2. Uncertainty and Volatility

  3. Heterogeneity of Beliefs and Information

    1. Front Matter
      Pages 51-51
    2. Saskia ter Ellen, Willem F. C. Verschoor
      Pages 53-79
  4. Transmission and Market Integration

    1. Front Matter
      Pages 105-105
    2. Semei Coronado, Omar Rojas, Rafael Romero-Meza, Apostolos Serletis, Leslie Verteramo Chiu
      Pages 107-123
    3. Julien Acalin, Bruno Cabrillac, Gilles Dufrénot, Luc Jacolin, Samuel Diop
      Pages 125-146
  5. Fundamentals and Bubbles

    1. Front Matter
      Pages 147-147
    2. Eric Girardin, Roselyne Joyeux, Shuping Shi
      Pages 173-192

About this book

Introduction

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.

Keywords

Rational expectations Uncertainty Asset price dynamics Nonlinearity Bubbles Macroeconomic aggregates Oil market volatility Commodity prices Heterogeneous beliefs Informational uncertainty International portfolio flows High-frequency trading

Editors and affiliations

  • Fredj Jawadi
    • 1
  1. 1.Lille UniversityLille CedexFrance

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-98714-9
  • Copyright Information Springer Nature Switzerland AG 2018
  • Publisher Name Springer, Cham
  • eBook Packages Economics and Finance
  • Print ISBN 978-3-319-98713-2
  • Online ISBN 978-3-319-98714-9
  • Series Print ISSN 1566-0419
  • Series Online ISSN 2363-8370
  • Buy this book on publisher's site