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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
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Citations: View citations in EconPapers (3) Track citations by RSS feed

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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 Downloads
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 Downloads
Alaa El-Shazly
Ch 3 Time-varying Dependence in the Term Structure of Interest Rates: A Copula-based Approach , pp 51-80 Downloads
Diaa Noureldin
Ch 4 Nonlinear Filtering and Market Implied Rating for a Jump-diffusion Structural Model of Credit Risk , pp 81-101 Downloads
Alaa El-Shazly
Ch 5 Time-varying Optimal Weights for International Asset Allocation in African, and South Asian Markets , pp 103-128 Downloads
Dalia El-Edel
Ch 6 Econometric Methods for Ordered Responses: Some Recent Developments , pp 133-165 Downloads
Franco Peracchi
Ch 7 Which Quantile is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression , pp 167-199 Downloads
Anil K. Bera, Antonio F. Galvao, Gabriel Montes-Rojas and Sung Y. Park
Ch 8 The Experimetrics of Fairness , pp 201-221 Downloads
Anna Conte and Peter Moffatt
Ch 9 Uniform in Bandwidth Tests of Specification for Conditional Moment Restrictions Models , pp 223-241 Downloads
Pascal Lavergne and Pierre E. Nguimkeu
Ch 10 Joint LM Test for Homoscedasticity in a Two-way Error Components Model , pp 243-286 Downloads
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 Downloads
William M. Mikhail and Ghazal A. Ghazal
Ch 12 Monetary Policy and the Role of the Exchange Rate in Egypt , pp 323-352 Downloads
Tarek A. Moursi and Mai El Mossallamy
Ch 13 International Migration, Remittances and Household Poverty Status in Egypt , pp 353-392 Downloads
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 Downloads
Mona Said
Ch 15 A Contract-theoretic Model of Conservation Agreements , pp 425-455 Downloads
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 Downloads
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 Downloads
Hala Abou-Ali and Yasmine Abdelfattah
Ch 18 Global Cement Industry: Competitive and Institutional Frameworks , pp 511-531 Downloads
Tarek Selim and Ahmed S. Salem
Ch 19 On the Occurrence of Ponzi Schemes in Presence of Credit Restrictions Penalizing Default , pp 533-550 Downloads
A Seghir
Ch 20 Is Targeted Advertising always Beneficial? , pp 551-585 Downloads
Nada Ben Elhadj-Ben Brahim, Rim Lahmandi-Ayed and Didier Laussel

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