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The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets.

Jondeau, E.; Rockinger, M. - Banque de France - 1999

In the following paper the authors start with a review of theoretical elements of extreme value theory (evt). In the empirical section of this study they consider five mature markets, nine Asian, six Eastern European, and seven Latin American emerging markets. The tail-behavior of returns is...

Persistent link: https://www.econbiz.de/10005671921

Interpreting the Hours-Technology time-varying relationship

Cantore, C.; Ferroni, F.; León-Ledesma, M A. - Banque de France - 2011

We investigate the time varying relation between hours and technology shocks using a structural business cycle model. We propose an RBC model with a Constant Elasticity of Substitution (CES) production function that allows for capital- and labor-augmenting technology shocks. We estimate the...

Persistent link: https://www.econbiz.de/10009371433

Effets “volume”, volatilité et transmissions internationales sur les marchés boursiers dans le G5

Avouyi-Dovi, S.; Jondeau, E.; Lai Tong, C. - Banque de France - 1997

main stock market indices of the G5: interactions between return and volatility, international transmission mechanisms and … impact of trading volumes. The non-significance of expected volatility in return equation can be explained by the influence … of trading volumes on returns. On the other hand, asymmetric effects (from non-expected return to volatility) are very …

Persistent link: https://www.econbiz.de/10008566299

False News, Informational Efficiency, and Price Reversals.

Dugast, J.; Foucault, T. - Banque de France - 2014

Speculators can discover whether a signal is true or false by processing it but this takes time. Hence they face a trade-off between trading fast on a signal (i.e., before processing it), at the risk of trading on a false news, or trading after processing the signal, at the risk that prices...

Persistent link: https://www.econbiz.de/10010938543

The effect of Sovereign Wealth Funds’ involvement on stock markets.

Raymond, H. - Banque de France - 2008

This study assesses the reaction of stock markets, when Sovereign Wealth Funds (SWFs) announce that they have taken a stake in a listed company. It adds useful empirical results to the debate on the effect of SWFs on financial markets, which remains so far largely reliant on guess work. We...

Persistent link: https://www.econbiz.de/10009395382

Limited attention and news arrival in limit order markets.

Dugast, J. - Banque de France - 2013

I model the dynamics of price adjustments to news arrival in limit order markets when investors have limited attention. Because of limited attention, investors monitor news arrival imperfectly. Consequently prices reflect news with delay. This delay shrinks when investors' attention capacity...

Persistent link: https://www.econbiz.de/10010815973

Financial Market Liquidity and the Lender of Last Resort.

Ewerhart, C.; Valla, N. - Banque de France - 2007

It has been argued in the literature that emergency liquidity injections should be conducted preferably in the form of open market operations. As we show in the present paper, this is not necessarily the case when liquidity may be alternatively used for speculative purposes during the crisis. In...

Persistent link: https://www.econbiz.de/10004998822

Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral

Jondeau, E.; Rockinger, M. - Banque de France - 1998

assumes a jump-diffusion for the underlying process, and eventually Heston's approach assuming a stochastic volatility model …

Persistent link: https://www.econbiz.de/10005036193

Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election

Coutant, S.; Jondeau, E.; Rockinger, M. - Banque de France - 1998

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as of Notional interest rate futures options and to investigate how traders reacted to a political event. We first focus on 5 dates surrounding the 1997 snap election and several...

Persistent link: https://www.econbiz.de/10005036199

Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election

Coutant, S.; Jondeau, E.; Rockinger, M. - Banque de France - 1998

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as of Notional interest rate futures options and to investigate how traders react to a political event. We first focus on 5 dates surrounding the 1997 snap election and several...

Persistent link: https://www.econbiz.de/10005646662