As most Exchange-Traded Funds (ETFs) engage in securities lending or are based on total return swaps, they expose their investors to counterparty risk. To mitigate the funds' exposure, their counterparties must pledge collateral. In this paper, the authors present a framework to study collateral...

Cet article généralise l'approche de Bollerslev et Zhang (2003) qui consiste à utiliser des mesures et co-mesures de risque « réalisées » pour l'estimation des sensibilités dans les modèles d'évaluation des actifs financiers. Nous proposons ici d'étendre cette approche en introduisant...

This paper proposes a new evaluation framework for interval forecasts. Our model free test can be used to evaluate intervals forecasts and High Density Regions, potentially discontinuous and/or asymmetric. Using a simple J-statistic, based on the moments de ned by the orthonormal polynomials...

In this paper we propose a multivariate dynamic probit model. Our model can be considered as a non-linear VAR model for the latent variables associated with correlated binary time-series data. To estimate it, we implement an exact maximum-likelihood approach, hence providing a solution to the...

In many poor countries, the problem is not that governments do not invest, but that these investments do not create productive capital. So, the cost of public investments does not correspond to the value of the capital stocks. In this paper, we propose an original non parametric approach to...

Beyond the general issue of institutional change at the aggregate level, some studies have shown that the diversity of Japanese firms has increased since the late 1990s, both in terms of performance and organization. This paper contributes to this literature by investigating the evolving...

Traditionally, nancial crisis Early Warning Systems (EWSs) rely on macroeconomic leading indicators to forecast the occurrence of such events. This paper extends such discrete-choice EWSs by taking into account the persistence of the crisis phenomenon. The dynamic logit EWS is estimated using an...

In many poor countries, the problem is not that governments do not invest, but that these investments do not create productive capital. So, the cost of public investments does not correspond to the value of the capital stocks. In this paper, we propose an original non parametric approach to...

The authors provide various estimates of the government net capital stocks for a panel of 26 developing countries over the period 1970-2001. Two kinds of internationally comparable series of public capital stocks are presented. The first estimates are based on the standard perpetual inventory...