26 results on '"Steeley, James M."'
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2. Explaining turn of the year order flow imbalance
- Author
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Chelley-Steeley, Patricia L., Lambertides, Neophytos, and Steeley, James M.
- Published
- 2016
- Full Text
- View/download PDF
3. The effects of non-trading on the illiquidity ratio
- Author
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Chelley-Steeley, Patricia L., Lambertides, Neophytos, and Steeley, James M.
- Published
- 2015
- Full Text
- View/download PDF
4. The side effects of quantitative easing: Evidence from the UK bond market
- Author
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Steeley, James M.
- Published
- 2015
- Full Text
- View/download PDF
5. Motives for corporate cash holdings: the CEO optimism effect
- Author
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Huang-Meier, Winifred, Lambertides, Neophytos, and Steeley, James M.
- Published
- 2016
- Full Text
- View/download PDF
6. Forecasting the volatility of the Australian dollar using high‐frequency data: Does estimator accuracy improve forecast evaluation?
- Author
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Bailey, George, primary and Steeley, James M., additional
- Published
- 2019
- Full Text
- View/download PDF
7. Earnings and hindsight bias: An experimental study
- Author
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Chelley-Steeley, Patricia L., Kluger, Brian D., and Steeley, James M.
- Published
- 2015
- Full Text
- View/download PDF
8. Motives for corporate cash holdings:the CEO optimism effect
- Author
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Huang-Meier, Winifred, Lambertides, Neophytos, Steeley, James M., Huang-Meier, Winifred, Lambertides, Neophytos, and Steeley, James M.
- Abstract
We examine the chief executive officer (CEO) optimism effect on managerial motives for cash holdings and find that optimistic and non-optimistic managers have significantly dissimilar purposes for holding more cash. This is consistent with both theory and evidence that optimistic managers are reluctant to use external funds. Optimistic managers hoard cash for growth opportunities, use relatively more cash for capital expenditure and acquisitions, and save more cash in adverse conditions. By contrast, they hold fewer inventories and receivables and their precautionary demand for cash holdings is less than that of non-optimistic managers. In addition, we consider debt conservatism in our model and find no evidence that optimistic managers’ cash hoarding is related to their preference to use debt conservatively. We also document that optimistic managers hold more cash in bad times than non-optimistic managers do. Our work highlights the crucial role that CEO characteristics play in shaping corporate cash holding policy.
- Published
- 2016
9. The effects of quantitative easing on the integration of UK capital markets
- Author
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Steeley, James M., primary
- Published
- 2015
- Full Text
- View/download PDF
10. Motives for corporate cash holdings: the CEO optimism effect
- Author
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Huang-Meier, Winifred, primary, Lambertides, Neophytos, additional, and Steeley, James M., additional
- Published
- 2015
- Full Text
- View/download PDF
11. The effects of quantitative easing on the integration of UK capital markets The effects of quantitative easing on the integration of UK capital markets.
- Author
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Steeley, James M.
- Subjects
QUANTITATIVE easing (Monetary policy) ,CAPITAL market ,HETEROSCEDASTICITY ,VOLATILITY (Securities) ,FINANCIAL crises - Abstract
We examine the effects of quantitative easing (QE) on the volatility of and correlation between stocks, short-term bonds and long-term bonds in the UK. Using a multivariate dynamic conditional correlation generalised autoregressive conditional heteroscedasticity model, we find that volatility in each of the markets experiences a significant increase during the financial crisis that is reversed during the first phase of QE. We find limited effects of the specific occurrence or intensity of QE activity on either the volatility or correlations for these asset classes, but some evidence that volatility persistence experienced temporary shifts during the sample period. We find short-term variability in the correlations between the markets during the crisis and QE periods, but cannot reject the hypothesis that correlations were constant throughout the sample period. [ABSTRACT FROM AUTHOR]
- Published
- 2017
- Full Text
- View/download PDF
12. An Empirical Study of the Impact of the Euro on Cross-Country Diversification.
- Author
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Ejara, Demissew Diro and Upadhyaya, Kamal
- Subjects
PORTFOLIO diversification ,MONETARY unions ,EURO ,INTEREST rates ,PUBLIC debts ,STOCK price indexes ,EMPIRICAL research - Abstract
The euro was launched, on 1 January 1999, as a common currency for members of the European Union that complied with the Maastricht Treaty. The Maastricht Treaty calls for the coordination of major macroeconomic policies, such as inflation, budget balance, public debt, and long-term interest rates. Theoretically, the coordination of these policy issues and the launch of a common currency will increase the degree of market integration among member countries. This paper empirically tests the impact of the euro on the degree of market integration by looking at the comovement of the European equity markets and a sample of OECD equity markets. Weekly stock market indices for the period covering seven years before the euro and seven years after the euro was implemented was used. The results show that cross-country divergences in stock markets continued after the euro. There is no evidence of cointegration after the adoption of the euro. Cross-country portfolio diversification continues to be beneficial even among euro countries. [ABSTRACT FROM AUTHOR]
- Published
- 2024
- Full Text
- View/download PDF
13. The Dynamic Return and Volatility Spillovers among Size-Based Stock Portfolios in the Saudi Market and Their Portfolio Management Implications during Different Crises.
- Author
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Al-Nassar, Nassar S.
- Subjects
PORTFOLIO management (Investments) ,MARKETING management ,MARKET volatility ,VOLATILITY (Securities) ,HEDGING (Finance) ,SMALL capitalization stocks ,INVESTORS - Abstract
This study contributes to the ongoing debate on the size effect and size-based investment styles by investigating the return and volatility spillovers and time-varying conditional correlations among Saudi large-, mid-, and small-cap indices. To this end, we utilize the weekly returns on the MSCI Saudi large-, mid-, and small-cap indices over a long sample period, spanning several crises. The econometric approach that we use is a VAR-asymmetric BEKK-GARCH model which accounts for structural breaks. On the basis of the VAR-asymmetric BEKK-GARCH model estimation results, we calculate portfolio weights and hedge ratios, and discuss their risk management implications. The empirical results confirm the presence of unilateral return spillovers running from mid- to small-cap stocks, while multilateral volatility spillovers are documented, albeit substantially weakened when accounting for structural breaks. The time-varying conditional correlations display clear spikes around crises, which translate to higher hedge ratios, increasing the cost of hedging during turbulent times. The optimal portfolio weights suggest that investors generally overweight large caps in their portfolios during uncertain times to minimize risk without lowering expected returns. The main takeaway from our results is that passively confining fund managers to a particular size category regardless of the prevailing market conditions may lead to suboptimal performance. [ABSTRACT FROM AUTHOR]
- Published
- 2023
- Full Text
- View/download PDF
14. U.S. unconventional monetary policy and risk tolerance in major currency markets.
- Author
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Fassas, Athanasios P., Kenourgios, Dimitris, and Papadamou, Stephanos
- Subjects
MONETARY policy ,MARKET volatility ,FOREIGN exchange rates ,POUND sterling ,PANEL analysis ,HARD currencies ,FOREIGN exchange market - Abstract
This paper studies the effects of U.S. unconventional monetary policy announcements on the implied volatility of three major currency pairs, Dollar/Euro, Dollar/British Pound and Dollar/Yen by using panel data analysis along with several model specifications and robustness tests. Monetary policy announcements not only have an effect on the realized behavior of asset prices, but also influence market participants' expectations regarding future volatility. Our empirical findings show that Federal Reserve's unconventional monetary policy announcements significantly reduce the market expectations about future realized volatility of exchange rates, suggesting that lax monetary policy leads to elevated risk-tolerance in currency markets. Furthermore, our findings indicate that market participants' expectations respond differently to the different rounds of U.S. quantitative easing. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
15. Volatility Spillover and International Contagion of Housing Bubbles.
- Author
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Bago, Jean-Louis, Akakpo, Koffi, Rherrad, Imad, and Ouédraogo, Ernest
- Subjects
EUROZONE ,REAL estate bubbles ,ECONOMIC bubbles ,MARKET volatility ,VOLATILITY (Securities) ,HOME prices ,REAL property ,HOUSING market ,HOUSING - Abstract
This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between Japan and its economic partners, namely, the United States, the Eurozone, and the United Kingdom. First, we apply a generalized sup ADF (GSADF) test to the quarterly price-to-rent ratio from 1970Q1 to 2018Q4 to detect explosive behaviors in housing prices. Second, we analyze the volatility spillover in housing prices between Japan and its economic partners using the multivariate time-varying DCC-GARCH model. Third, we assess bubble contagion by estimating a non-parametric model of bubble migration with time-varying coefficients. We document two historical bubble episodes from 1970 to 2018 in Japan's housing market. Moreover, we find evidence of volatility spillover effects and bubble contagion between Japan's real estate market and its most important economic partners during several periods. In this context of market integration, countries need to develop coordinated real estate policies to address the risk of global real estate bubbles. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
16. The Share of Systematic Variation in Bilateral Exchange Rates.
- Author
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VERDELHAN, A. D. R. I. E. N.
- Subjects
FOREIGN exchange rates ,RISK ,STOCHASTIC analysis ,INTERNATIONAL economic relations ,MONEY - Abstract
ABSTRACT: Sorting countries by their dollar currency betas produces a novel cross section of average currency excess returns. A slope factor (long in high beta currencies and short in low beta currencies) accounts for this cross section of currency risk premia. This slope factor is orthogonal to the high‐minus‐low carry trade factor built from portfolios of countries sorted by their interest rates. The two high‐minus‐low risk factors account for 18% to 80% of the monthly exchange rate movements. The two risk factors suggest that stochastic discount factors in complete markets' models should feature at least two global shocks to describe exchange rates. [ABSTRACT FROM AUTHOR]
- Published
- 2018
- Full Text
- View/download PDF
17. HAFTANIN GÜNÜ ETKİSİ: BIST 30 ENDEKSİ PAYLARI ÜZERİNE BİR ARAŞTIRMA.
- Author
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AKBALIK, Murat and ÖZKAN, Nasıf
- Abstract
Copyright of Journal of Financial Researches & Studies / Finansal Araştirmalar ve Çalişmalar Dergisi is the property of Marmara University, School of Banking & Insurance and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
- Published
- 2016
- Full Text
- View/download PDF
18. Contents of Current Periodicals.
- Subjects
ACCOUNTING ,BOOKKEEPING ,FINANCIAL crises - Published
- 2015
19. Common Factors in the Term Structure of Credit Spreads and Predicting the Macroeconomy in Japan.
- Author
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Kobayashi, Takeshi
- Subjects
BUSINESS forecasting ,ECONOMIC forecasting ,BUSINESS cycles ,FACTOR structure ,BONDS (Finance) ,CORPORATE bonds - Abstract
This study extracts the common factors from firm-based credit spreads of major Japanese corporate bonds and examines the predictive content of the credit spread on the real economy. Instead of employing single-maturity corporate bond spreads, we focus on the entire term structure of the credit spread to predict the business cycle. We extend the dynamic Nelson-Siegel model to allow for both common and firm-specific factors. The results show that the estimated common factors are important drivers of individual credit spreads and have substantial predictive power for future Japanese economic activity. This study contributes to the literature by examining the relationship between firm-based credit spread curves and economic fluctuation and forecasting the business cycle. [ABSTRACT FROM AUTHOR]
- Published
- 2021
- Full Text
- View/download PDF
20. Municipal Bond Pricing: A Data Driven Method.
- Author
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Raman, Natraj and Leidner, Jochen L.
- Subjects
MUNICIPAL bonds ,ESTIMATION theory ,STATISTICAL models ,POLYNOMIALS ,EMPIRICAL research - Abstract
Price evaluations of municipal bonds have traditionally been performed by human experts based on their market knowledge and trading experience. Automated evaluation is an attractive alternative providing the advantage of an objective estimation that is transparent, consistent, and scalable. In this paper, we present a statistical model to automatically estimate U.S municipal bond yields based on trade transactions and study the agreement between human evaluations and machine generated estimates. The model uses piecewise polynomials constructed using basis functions. This provides immense flexibility in capturing the wide dispersion of yields. A novel transfer learning based approach that exploits the latent hierarchical relationship of the bonds is applied to enable robust yield estimation even in the absence of adequate trade data. The Bayesian nature of our model offers a principled framework to account for uncertainty in the estimates. Our inference procedure scales well even for large data sets. We demonstrate the empirical effectiveness of our model by assessing over 100,000 active bonds and find that our estimates are in line with hand priced evaluations for a large number of bonds. [ABSTRACT FROM AUTHOR]
- Published
- 2018
- Full Text
- View/download PDF
21. 2022 CFA Program Curriculum Level II Box Set
- Author
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CFA Institute and CFA Institute
- Subjects
- Investments--Examinations--Study guides
- Abstract
Prepare for success on the 2022 CFA Level II exam with the latest official CFA® Program Curriculum. The 2022 CFA Program Curriculum Level II Box Set contains all the material you need to succeed on the Level II CFA exam in 2022. This set includes the full official curriculum for Level II and is part of the larger CFA Candidate Body of Knowledge (CBOK). Organized to get you accustomed to the exam's heavy reliance on vignettes, the Level II curriculum will help you master mini case studies and accompanying analyses. Highly visual and intuitively organized, this box set allows you to: Learn from financial thought leaders. Access market-relevant instruction. Gain critical knowledge and skills. The set also includes practice questions to assist with your recall of key terms, concepts, and formulas. Perfect for anyone preparing for the 2022 Level II CFA exam, the 2022 CFA Program Curriculum Level II Box Set is a must-have resource for those seeking the intermediate skills required to become a Chartered Financial Analyst®.
- Published
- 2021
22. CFA Program Curriculum 2020 Level II Volumes 1-6 Box Set
- Author
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CFA Institute and CFA Institute
- Subjects
- Investments--Examinations--Study guides
- Abstract
All CFA® Program exams through November 2021 will reflect the 2020 curriculum. Purchase your copy and begin studying for Level II now! The CFA® Program Curriculum 2020 Level II Box Set provides candidates and other motivated investment professionals with the official curriculum tested on the Level II CFA exam. This set includes practical instruction on the 10 core topics covered in the Candidate Body of Knowledge (CBOK) to prepare readers for their 2020 or 2021 Level II exam windows. Beyond the fundamentals, this set also offers expert guidance on how the CBOK is applied in practice. The Level II CFA® Program Curriculum focuses on complex analysis and asset valuation; it is designed to help candidates use essential investment concepts in real-world situations analysts encounter in the field. Topics explored in this box set include ethical and professional standards, quantitative analysis, economics, financial reporting and analysis, corporate finance, equities, fixed income, derivatives, alternative investments, and portfolio management. Visuals like charts, graphs, figures, and diagrams illustrate complex material covered on the Level II exam, and practice questions with answers help you understand your study progress while reinforcing important content. The CFA® Program Curriculum 2020 Level II Box Set builds from the foundational investment skills covered in Level I. This set helps you: Incorporate analysis skills into case evaluations Master complex calculations and quantitative techniques Understand the international standards used for valuation and analysis Gauge your skills and understanding against each Learning Outcome Statement Perfect for anyone considering the CFA® designation or currently preparing for a 2021 exam window, the 2020 Level II Box Set is a must-have resource for applying the skills required to become a Chartered Financial Analyst®.
- Published
- 2019
23. CFA Program Curriculum 2019 Level II Volumes 1-6 Box Set
- Author
-
CFA Institute and CFA Institute
- Subjects
- Securities--Examinations--Study guides, Portfolio management--Examinations--Study guides, Investments--Examinations--Study guides, Investment analysis--Examinations--Study guides, Investment advisors--Examinations--Study guides
- Abstract
Master the practical aspects of the CFA Program curriculum with expert instruction for the 2019 exam The same official curricula that CFA Program candidates receive with program registration is now publicly available for purchase. CFA Program Curriculum 2019 Level II, Volumes 1-6 provides the complete Level II curriculum for the 2019 exam, with practical instruction on the Candidate Body of Knowledge (CBOK) and how it is applied, including expert guidance on incorporating concepts into practice. Level II focuses on complex analysis with an emphasis on asset valuation, and is designed to help you use investment concepts appropriately in situations analysts commonly face. Coverage includes ethical and professional standards, quantitative analysis, economics, financial reporting and analysis, corporate finance, equities, fixed income, derivatives, alternative investments, and portfolio management organized into individual study sessions with clearly defined Learning Outcome Statements. Charts, graphs, figures, diagrams, and financial statements illustrate complex concepts to facilitate retention, and practice questions with answers allow you to gauge your understanding while reinforcing important concepts. While Level I introduced you to basic foundational investment skills, Level II requires more complex techniques and a strong grasp of valuation methods. This set dives deep into practical application, explaining complex topics to help you understand and retain critical concepts and processes. Incorporate analysis skills into case evaluations Master complex calculations and quantitative techniques Understand the international standards used for valuation and analysis Gauge your skills and understanding against each Learning Outcome Statement CFA Institute promotes the highest standards of ethics, education, and professional excellence among investment professionals. The CFA Program curriculum guides you through the breadth of knowledge required to uphold these standards. The three levels of the program build on each other. Level I provides foundational knowledge and teaches the use of investment tools; Level II focuses on application of concepts and analysis, particularly in the valuation of assets; and Level III builds toward synthesis across topics with an emphasis on portfolio management.
- Published
- 2018
24. CFA Program Curriculum 2018 Level II
- Author
-
CFA Institute and CFA Institute
- Subjects
- Investments--Examinations--Study guides
- Abstract
Master the practical aspects of the CFA Program Curriculum with expert instruction for the 2018 exam The same official curricula that CFA Program candidates receive with program registration is now publicly available for purchase. CFA Program Curriculum 2018 Level II, Volumes 1-6 provides the complete Level II Curriculum for the 2018 exam, with practical instruction on the Candidate Body of Knowledge (CBOK) and how it is applied, including expert guidance on incorporating concepts into practice. Level II focuses on complex analysis with an emphasis on asset valuation, and is designed to help you use investment concepts appropriately in situations analysts commonly face. Coverage includes ethical and professional standards, quantitative analysis, economics, financial reporting and analysis, corporate finance, equities, fixed income, derivatives, alternative investments, and portfolio management organized into individual study sessions with clearly defined Learning Outcome Statements. Charts, graphs, figures, diagrams, and financial statements illustrate complex concepts to facilitate retention, and practice questions with answers allow you to gauge your understanding while reinforcing important concepts. While Level I introduced you to basic foundational investment skills, Level II requires more complex techniques and a strong grasp of valuation methods. This set dives deep into practical application, explaining complex topics to help you understand and retain critical concepts and processes. Incorporate analysis skills into case evaluations Master complex calculations and quantitative techniques Understand the international standards used for valuation and analysis Gauge your skills and understanding against each Learning Outcome Statement CFA Institute promotes the highest standards of ethics, education, and professional excellence among investment professionals. The CFA Program Curriculum guides you through the breadth of knowledge required to uphold these standards. The three levels of the program build on each other. Level I provides foundational knowledge and teaches the use of investment tools; Level II focuses on application of concepts and analysis, particularly in the valuation of assets; and Level III builds toward synthesis across topics with an emphasis on portfolio management.
- Published
- 2017
25. CFA Program Curriculum 2017 Level II, Volumes 1 - 6
- Author
-
CFA Institute and CFA Institute
- Subjects
- Portfolio management--Examinations--Study guides, Securities--Examinations--Study guides, Investment analysis--Examinations--Study guides, Investment advisors--Examinations--Study guides
- Abstract
Master the practical aspects of the CFA Program Curriculum with expert instruction for the 2017 exam The same official curricula that CFA Program candidates receive with program registration is now publicly available for purchase. CFA Program Curriculum 2017 Level II, Volumes 1-6 provides the complete Level II Curriculum for the 2017 exam, with practical instruction on the Candidate Body of Knowledge (CBOK) and how it is applied, including expert guidance on incorporating concepts into practice. Level II focuses on complex analysis with an emphasis on asset valuation, and is designed to help you use investment concepts appropriately in situations analysts commonly face. Coverage includes ethical and professional standards, quantitative analysis, economics, financial reporting and analysis, corporate finance, equities, fixed income, derivatives, alternative investments, and portfolio management organized into individual study sessions with clearly defined Learning Outcome Statements. Charts, graphs, figures, diagrams, and financial statements illustrate complex concepts to facilitate retention, and practice questions with answers allow you to gauge your understanding while reinforcing important concepts. While Level I introduced you to basic foundational investment skills, Level II requires more complex techniques and a strong grasp of valuation methods. This set dives deep into practical application, explaining complex topics to help you understand and retain critical concepts and processes. Incorporate analysis skills into case evaluations Master complex calculations and quantitative techniques Understand the international standards used for valuation and analysis Gauge your skills and understanding against each Learning Outcome Statement CFA Institute promotes the highest standards of ethics, education, and professional excellence among investment professionals. The CFA Program Curriculum guides you through the breadth of knowledge required to uphold these standards. The three levels of the program build on each other. Level I provides foundational knowledge and teaches the use of investment tools; Level II focuses on application of concepts and analysis, particularly in the valuation of assets; and Level III builds toward synthesis across topics with an emphasis on portfolio management.
- Published
- 2016
26. Non-linear Modeling of the Impact of the Crisis on the Interactions Among Financial Markets and Macroeconomic Variables in CEE Countries
- Author
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Liviu Albu, Lucian, Caraiani, Petre, Liviu Albu, Lucian, and Caraiani, Petre
- Subjects
- Monetary policy--European Union countries, Monetary policy--Europe, Central, Finance--Europe, Central, Finance--Europe, Eastern, Monetary policy--Europe, Eastern, Finance--European Union countries
- Abstract
Following the last economic and financial crisis, there is strong motivation for academics to better explain the connection between the stock market and the macroeconomy. This book aims at fulfilling this need with an accent on the case of emerging markets in Central and Eastern Europe. The book generally focuses on nonlinear techniques. The book consists of several chapters, each using state-of-the-art techniques in modeling that address specific issues related to the focus of the book. The topics range from studying the transmission mechanism of monetary policy in CEE economies, to issues like the impact of quantitative easing on the emerging markets or network based approaches that advance our understanding of the financial relationships in these markets. The book also includes a paper on the wavelets modeling of the relationship between uncertainty and equity premium. Given the nature of the CEE economies, i.e. aspiring Euro Area members, a special chapter is dedicated to convergence issues and the nonlinear relationship between economic growth and finance. Overall, in the present context of the post-financial crisis, this book constitutes a step forward in the modeling of the linear and nonlinear relationships between the financial markets and the macroeconomy, especially in an unstable context and for the particular case of emerging economies.
- Published
- 2016
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