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La mesure du ratio rendement-risque a partir du marche des euro-devises.
Jondeau, E. - Banque de France - 1999
Nous etudions dans ce papier la relation entre le rendement et le risque pour les marches de taux sur l'euro-dollar, l'euro-mark et l'euro-franc, de 1975 a 1997. Nous testons la relation entre l'exces de rendement de portage et la volatilite a partir d'une modelisation ARCH-in-Mean.
Persistent link: https://www.econbiz.de/10005646657
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La modelisation de la volatilite des bourses asiatiques.
Avouyi-Dovi, S.; Jondeau, E. - Banque de France - 1999
En nous inspirant des travaux portant sur les marches boursiers des pays industrialises, nous analysons la volatilite des rendements boursiers d'Asie du Sud-Est a partir de la methodologie ARCH. Notre objectif consiste a mettre en evidence les specificites des marches boursiers du Sud-Est...
Persistent link: https://www.econbiz.de/10005646663
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No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth.
Jardet, C.; Monfort, A.; Pegoraro, F. - Banque de France - 2009
Macroeconomic questions involving interest rates generally require a reliable joint dynamics of a large set of variables. More precisely, such a dynamic modelling must satisfy two important conditions. First, it must be able to propose reliable predictions of some key variables. Second, it must...
Persistent link: https://www.econbiz.de/10005034720
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La mesure du ratio rendement-risque a partir du marche des euro-devises.
Jondeau, E. - Banque de France - 1999
Nous etudions dans ce papier la relation entre le rendement et le risque pour les marches de taux sur l'euro-dollar, l'euro-mark et l'euro-franc, de 1975 à 1997. Nous testons la relation entre l'exces de rendement de portage et la volatilite a partir d'une modelisation ARCH-in-Mean. Nous...
Persistent link: https://www.econbiz.de/10005036194
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La modelisation de la volatilite des bourses asiatiques.
Avouyi-Dovi, S.; Jondeau, E. - Banque de France - 1999
En nous inspirant des travaux portant sur les marches boursiers des pays industrialisés, nous analysons la volatilite des rendements boursiers d'Asie du Sud-Est à partir de la méthodologie ARCH. Notre objectif consiste à mettre en évidence les spécificités des marchés boursiers du...
Persistent link: https://www.econbiz.de/10005036201
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Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence.
Jondeau, E.; Rockinger, M. - Banque de France - 2000
Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis …
Persistent link: https://www.econbiz.de/10005036205
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Econometric Asset Pricing Modelling.
Bertholon, H.; Monfort, A.; Pegoraro, F. - Banque de France - 2008
The purpose of this paper is to propose a general econometric approach to no-arbitrage asset pricing modelling based on …-Car) historical dynamics and a Car R.N. dynamics leading to explicit or quasi explicit pricing formulas for various derivative … products. Moreover, we highlight the possibility to specify asset pricing models able to accommodate non-Car historical and non …
Persistent link: https://www.econbiz.de/10005036212
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Interest Rate Transmission and Volatility Transmission along the Yield Curve.
Avouyi-Dovi, S.; Jondeau, E. - Banque de France - 1999
In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which take into account moste of the usual features of financial data (non-stationarity,...
Persistent link: https://www.econbiz.de/10005036224
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Switching VARMA Term Structure Models - Extended Version.
Monfort, A.; Pegoraro, F. - Banque de France - 2007
The purpose of the paper is to propose a global discrete-time modeling of the term structure of interest rates able to capture simultaneously the following important features : (i) an historical dynamics of the factor driving term structure shapes involving several lagged values, and switching...
Persistent link: https://www.econbiz.de/10004998827
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Understanding Asset Prices: Determinants and Policy Implications.
Clerc, L. - Banque de France - 2007
, the role played by "excess liquidity" in shaping current developments. Additional factors related to fierce competition in …
Persistent link: https://www.econbiz.de/10004998854