Handbook: Risk Factors and Contagion in Commodity Markets and Stocks Markets

EDITORS:

Stéphane Goutte – University of Paris 8, Saint Denis, France.
Khaled Guesmi – IPAG Business School (IPAG Lab), Paris, France

BOOK'S DESCRIPTION:

To quantify the impact of commodities on the economy, one can distinguish different modeling approaches. First, commodities can be represented as the pinnacle of cross-sectional financial asset prices. Second, price fluctuations due seasonal variations, to dramatic market changes, political and regulatory decisions or technological shocks may adversely impact producers who use commodities as input. This latter effect creates the so called “commodities risk”. Additionally, commodities price fluctuations may spread off to other sectors in the economy, via contagion effects. Besides, stronger investor interest in commodities may create closer integration with conventional asset markets; as a result, the financialization process also enhances the correlation between commodity markets and financial markets.
The core of this book is to resume to provide the readers but particularly investors, managers, and policymakers current issues and new trends in quantitative energy finance (pricing, modeling, risk management, etc.); resume of the main results obtained in the modeling of the behaviors and dynamics of energy and stock markets, Brings insights about the mathematical modeling contagion and study the financial mathematical particularities of the contagion, financial effects, commodities risk, and financial market integration in a unified and comprehensive framework.
It particularly addresses two main dimensions: financial market integration and energy markets and their interactions with financial markets. The book is intended to focus (though not limited to) the following points:

Topic 1: Financial market integration
• Dynamics of asset returns: assessment and modeling
• Financial integration, risk sharing and real convergence in emerging stock markets
• Financial integration versus segmentation
• International portfolio diversification
• Regionalization and globalization in international finance
• Determinants of financial integration
• Mathematical and computational aspects of international finance
• Volatility Determination and transmission

Topic 2: Energy markets and their interactions with financial markets
• Energy and financial market interactions
• Energy prices: modeling and forecasting
• Energy risks: assessment and modeling
• Financial and economic analysis of energy markets
• Finance and investment in renewable energy
• Contagion and volatility spillover in financial and energy markets
• Financialisation of commodities and cross market returns
• Commodities and financial market linkages
• Volatility contagion across commodity and equities

PAPER SUBMISSIONS:

The editors’ welcome conceptual papers as well as empirical research, including case studies. Prospective contributors are invited to submit, before November 2017, a 1-2-page chapter proposal (including a title, an abstract, a tentative outline, and a short biography of the authors), clearly explaining the purpose, scope and contents of their proposed chapters.
All submitted chapters will go through a blind review process. Authors may be asked to act as reviewers on this project. Each contributor will receive a free copy of the edited book. Please indicate the topic of your chapter.

TIME FRAME:

Deadline for proposal submission: March 31th, 2018 (The submission of full chapters at this stage is highly encouraged)
Notification of the selection: April 30th, 2018
Submission of full chapters: June 30th, 2018
Revised chapters due: October 31th, 2018

CONTACTS:

For inquiries about this call for chapters, please email to any of the following editors: Dr. Stéphane Goutte (stephane.goutte@univ-paris8.fr) and Dr. Khaled Guesmi (khaled.guesmi@ipag.fr)
Please put " Handbook of Contagion and Financialisation: Determinants effects and Evolutions" in the subject line.