Econometric Methods and Their Applications in Finance, Macro and Related Fields

Edited by Kaddour Hadri () and William Mikhail

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: The volume aims at providing an outlet for some of the best papers presented at the 15th Annual Conference of the African Econometric Society, which is one of the “chapters” of the International Econometric Society. Many of these papers represent the state of the art in financial econometrics and applied econometric modeling, and some also provide useful simulations that shed light on the models' ability to generate meaningful scenarios for forecasting and policy analysis.

Keywords: Financial Econometrics; Applied Econometrics; Econometric Theory and Methods (search for similar items in EconPapers)
Date: 2014
ISBN: 9789814513463
References: Add references at CitEc
Citations: View citations in EconPapers (3)

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https://www.worldscientific.com/worldscibooks/10.1142/8843 (text/html)
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Chapters in this book:

Ch 1 Modeling Interest Rates Using Reducible Stochastic Differential Equations: A Copula-based Multivariate Approach , pp 5-29

Ruijun Bu, Ludovic Giet, Kaddour Hadri and Michel Lubrano

Ch 2 Financial Risk Management Using Asymmetric Heavy-tailed Distributions and Nonlinear Dependence Structures of Asset Returns under Discontinuous Dynamics , pp 31-49

Alaa El-Shazly

Ch 3 Time-varying Dependence in the Term Structure of Interest Rates: A Copula-based Approach , pp 51-80

Diaa Noureldin

Ch 4 Nonlinear Filtering and Market Implied Rating for a Jump-diffusion Structural Model of Credit Risk , pp 81-101

Alaa El-Shazly

Ch 5 Time-varying Optimal Weights for International Asset Allocation in African, and South Asian Markets , pp 103-128

Dalia El-Edel

Ch 6 Econometric Methods for Ordered Responses: Some Recent Developments , pp 133-165

Franco Peracchi

Ch 7 Which Quantile is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression , pp 167-199

Anil K. Bera, Antonio Galvao, Gabriel Montes-Rojas and Sung Y. Park

Ch 8 The Experimetrics of Fairness , pp 201-221

Anna Conte and Peter Moffatt

Ch 9 Uniform in Bandwidth Tests of Specification for Conditional Moment Restrictions Models , pp 223-241

Pascal Lavergne and Pierre E. Nguimkeu

Ch 10 Joint LM Test for Homoscedasticity in a Two-way Error Components Model , pp 243-286

Eugene Kouassi, Joel Sango, J. M. Bosson Brou and Kern O. Kymn

Ch 11 An Approximation to the Distribution of the Pooled Estimator When the Time Series Equation Is One of a Complete System , pp 287-316

William M. Mikhail and Ghazal A. Ghazal

Ch 12 Monetary Policy and the Role of the Exchange Rate in Egypt , pp 323-352

Tarek A. Moursi and Mai El Mossallamy

Ch 13 International Migration, Remittances and Household Poverty Status in Egypt , pp 353-392

Rania Roushdy, Ragui Assaad and Ali Rashed

Ch 14 Determinants of Job Quality and Wages of the Working Poor: Evidence from 1998–2006 Egypt Labor Market Panel Survey , pp 393-423

Mona Said

Ch 15 A Contract-theoretic Model of Conservation Agreements , pp 425-455

Heidi Gjertsen, Theodore Groves, David A. Miller, Eduard Niesten, Dale Squires and Joel Watson

Ch 16 Household Environment and Child Health in Egypt , pp 457-488

Mahmoud Hailat and Franco Peracchi

Ch 17 Modeling the Relationship between Natural Resource Abundance, Economic Growth and the Environment: A Cross-country Study , pp 489-509

Hala Abou-Ali and Yasmine Abdelfattah

Ch 18 Global Cement Industry: Competitive and Institutional Frameworks , pp 511-531

Tarek Selim and Ahmed S. Salem

Ch 19 On the Occurrence of Ponzi Schemes in Presence of Credit Restrictions Penalizing Default , pp 533-550

A Seghir

Ch 20 Is Targeted Advertising always Beneficial? , pp 551-585

Nada Ben Elhadj-Ben Brahim, Rim Lahmandi-Ayed and Didier Laussel

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