Uncertainty, Expectations and Asset Price Dynamics

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.

• Preface (Fredj Jawadi).- Interview with Georges Prat (Fredj Jawadi).- Part I: Uncertainty and Volatility.- Uncertainty or stationarity in financial and macroeconomic time series? Evidence from Fourier approximated structural changes. (William A. Barnett, Qing Han).- Oil market volatility: Is macroeconomic uncertainty systematically transmitted to oil prices? (Marc Joëts, Valérie Mignon, Tovonony Razafindrabe).- Part II: Heterogeneity of Beliefs and Information.- Heterogeneous beliefs and asset price dynamics: A survey of recent evidence (Saskia ter Elleny, Willem F.C. Verschoor).- High-frequency trading in the equity markets during U.S. treasury POMO (Cheng Gao, Bruce Mizrach).- Part III: Transmission and Market Integration.- Crude oil and biofuel agricultural commodity prices (Semei Coronado, Omar Rojas, Rafael Romero-Meza, Apostolos Serletis, Leslie Verteramo Chiu).- Financial integration and business cycle synchronization in Sub-SaharanAfrica (Julian Acalin, Bruno Cabrillac, Gilles Dufrénot, Luc Jacolin, Samuel Diop).- Part IV: Fundamentals and Bubbles.- Informational efficiency and endogenous rational bubbles (George A. Waters).- Stock market bubble migration: From Shanghai to Hong Kong (Eric Girardin, Roselyne Joyeux, Shuping Shi).- A comparative study on international portfolio flows to Asian stock markets in a nonlinear perspective (Ayben Koy).