Uncertainty, Expectations and Asset Price Dynamics

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).