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GARCH for Irregularly Spaced Data: The ACD-GARCH Model

Ghysels, Eric; Jasiak, Joanna - Centre Interuniversitaire de Recherche en Analyse des … - 1997

transaction durations and vice versa. Otherwise the spacings between trades are considered exogenous to the volatility dynamics … causality between volatility and intra-trade durations. Under general conditions we propose several GMM estimation procedures … that volatility of IBM stock prices Granger causes intra-trade durations. We also find that the persistence in GARCH drops …

Persistent link: https://www.econbiz.de/10005100975

The Demand for Directors' and Officers' Insurance in Canada

Boyer, M. Martin; Delvaux-Derome, Mathieu - Centre Interuniversitaire de Recherche en Analyse des … - 2002

This paper looks at the insurance demand of a firm's directors and officers using a sample of Canadian corporations (excluding firms from the Financial services and Mining sectors) from 1993-1999. More to the point, we study the demand for director's and officer's insurance. Our results suggest...

Persistent link: https://www.econbiz.de/10005100691

Do CEOs Exercise Their Stock Options Earlier than Other Executives?

André, Paul; Boyer, M. Martin; Gagné, Robert - Centre Interuniversitaire de Recherche en Analyse des … - 2002

This paper looks at the timing chosen by CEOs to exercise their stock options and to sell their shares of stock compared to the timing chosen by other top executives in the firm. We first present a model that predicts when CEOs should exercise their options and/or sell their shares, and when...

Persistent link: https://www.econbiz.de/10005100717

Is the Demand for Corporate Insurance a Habit? Evidence from Directors' and Officers' Insurance

Boyer, M. Martin - Centre Interuniversitaire de Recherche en Analyse des … - 2003

Of the many fundamental questions left unanswered in finance, one relates to corporate risk management practices. It is still relatively unclear what are the reasons that motivate risk neutral corporations to manage their idiosyncratic risk. Our contention in this paper is that corporate...

Persistent link: https://www.econbiz.de/10005101048

Can Financial Intermediation Induce Economic Fluctuations?

Banerji, Sanjay; Long, Ngo Van - Centre Interuniversitaire de Recherche en Analyse des … - 2000

We construct a model to show that active financial intermediation can induce economic fluctuations. We embed a financial sector in a simple overlapping generation model with a single stock of capital. Individuals are risk averse agents that face idiosyncratic risks in their business activities:...

Persistent link: https://www.econbiz.de/10005100606

Contracting under Ex Post Moral Hazard and Non-Commitment

Boyer, M. Martin - Centre Interuniversitaire de Recherche en Analyse des … - 2001

This paper characterizes the optimal insurance contract in an environment where an informed agent can misrepresent the state of the world to a principal who cannot credibly commit to an auditing strategy. Because the principal cannot commit, the optimal strategy of the agent is not to tell the...

Persistent link: https://www.econbiz.de/10005101113

Institutions and Development in MENA Region: Evidence from the Manufacturing Sector

Fakih, Ali; Arayssi, Mahmoud - Centre Interuniversitaire de Recherche en Analyse des … - 2015

This paper examines the role of institutions (including civil law origin), financial deepening and degree of regime authority on growth rates in the Middle East and North Africa (MENA) region using panel data through a fixed effect model. The results reveal that English civil law origin and...

Persistent link: https://www.econbiz.de/10011183770

Risk Aversion, Intertemporal Substitution, and Option Pricing

Garcia, René; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 1998

. This BS-shaped option pricing formula allows us to derive interesting characterizations of the volatility smile, that is …

Persistent link: https://www.econbiz.de/10005100513

Liberalization, Political Risk and Stock Market Returns in Emerging Markets

L'Her, Jean-François; Suret, Jean-Marc - Centre Interuniversitaire de Recherche en Analyse des … - 1997

In this paper, we analyze hyper-return periods from 1976 to 1994 for 20 emerging stock markets. We define a hyper-return period as a calendar year during which a cumulative geometric return in excess of 70% is observed. According to this definition, the hyper-return periods represent 23% of the...

Persistent link: https://www.econbiz.de/10005100542

Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Mod...

Garcia, René; Luger, Richard; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2001

generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two … implicit parameters and forecast next day S&P 500 option prices, we obtain similar pricing errors than with implied volatility …

Persistent link: https://www.econbiz.de/10005100563