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Robust outlier detection for Asia–Pacific stock index returns
Ané, Thierry; Ureche-Langau, Loredana; Gambet, Jean-Benoît - Université Paris-Dauphine (Paris IX) - 2008
Outliers can lead to model misspecifications, poor forecasts and invalid inferences. Their identification and correction is therefore an important objective of financial modeling. This paper introduces a simple method to detect outliers in a financial series. It uses an AR(1)–GARCH(1,1) model...
Persistent link: https://www.econbiz.de/10010752616
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Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models
Kiviet, Jan Frederik; Pleus, Milan; Poldermans, Rutger - CESifo - 2015
-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …
Persistent link: https://www.econbiz.de/10011124891
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Copulas and bivariate Risk measures : an application to hedge funds
Bedoui, Rihab; Ben Dbabis, Makram - Université Paris-Dauphine (Paris IX) - 2009
With hedgefunds, managers develop risk management models that mainly aim to play on the effect of de correlation …
Persistent link: https://www.econbiz.de/10011074324
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Understanding the Fine Structure of Electricity Prices
Geman, Hélyette; Roncoroni, Andréa - Université Paris-Dauphine (Paris IX) - 2006
This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...
Persistent link: https://www.econbiz.de/10011166403
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Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
Russo, Francesco; Oudjane, Nadia; Goutte, Stéphane - Université Paris-Dauphine (Paris IX) - 2013
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algori thm, which is based on the celebrated...
Persistent link: https://www.econbiz.de/10011082464
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Gold, Oil, and Stocks: Dynamic Correlations
Baruník, Jozef; Kocenda, Evžen; Vácha, Lukáš - CESifo - 2015
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10011272625
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L'apport de "l'estimateur" de Ledoit et Wolf
Vu Anh Tuan, Eric - Université Paris-Dauphine (Paris IX) - 2013
Persistent link: https://www.econbiz.de/10010799295
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Explaining the Cross-Section of Stock Returns in France : Characteristics or Risk Factors?
Lajili, Souad - Université Paris-Dauphine (Paris IX) - 2007
In this study, we test the three factor model of Fama and French and the Characteristic Model of Daniel and Titman (1997) on The French Stock Market over July 1976 to June 2001 period. Stocks are ranked by size and book to market ratios and then by ex-ante HML, SMB or Mkt loadings. The...
Persistent link: https://www.econbiz.de/10011166402
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How Does the Ledoit and Wolf Shrinkage Estimator Improve a Real Estate Portfolio?
Vu Anh Tuan, Eric - Université Paris-Dauphine (Paris IX) - 2013
Liang, 2000). Indeed, the mean-variance analysis is quite sensitive to estimation errors, and traditional real estate … the allocations. This process limits the impact of estimation errors on the optimization process, resulting in a …
Persistent link: https://www.econbiz.de/10011166563
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Studentization and deriving accurate p-values
Rousseau, Judith; Fraser, Donald - Université Paris-Dauphine (Paris IX) - 2008
Bayesian literature, with many variations and some preference for two versions labelled pppost and pcpred. The bootstrap method … develop: an ancillary based p-value designated panc; a special version of the Bayesian pcpred; and a bootstrap based p … bootstrap would require a magnitude more in computation and would perhaps not be accessible. Examples are given to indicate the …
Persistent link: https://www.econbiz.de/10010905315