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Rôle des pratiques d'empowerment et de rémunération sur la performance des ressources humaines : un enjeu méthodologique

Chênevert, Denis; Tremblay, Michel - Centre Interuniversitaire de Recherche en Analyse des … - 2003

The purpose of the present study is to verify three main hypothesis with a sample of 252 Canadians organizations: 1) does empowerment bundle and compensation practices bundle individually have an influence on the human resources performance?; 2) does the fit or the synergy between these two...

Persistent link: https://www.econbiz.de/10005273026

Stochastic Volatility: Univariate and Multivariate Extensions

Jacquier, Éric; Polson, Nicholas G.; Rossi, Peter E. - Centre Interuniversitaire de Recherche en Analyse des … - 1999

normality of the conditional distribution. We implement this methodology on a number of univariate financial time series. There … is strong evidence of (1) non-normal conditional distributions for most series, and (2) a leverage effect for stock … implications on decisions based upon prediction of volatility, especially when dealing with tail prediction as in risk management …

Persistent link: https://www.econbiz.de/10005100719

Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

Rombouts, Jeroen; Stentoft, Lars Peter - Centre Interuniversitaire de Recherche en Analyse des … - 2009

While stochastic volatility models improve on the option pricing error when compared to the Black-Scholes-Merton model, mispricings remain. This paper uses mixed normal heteroskedasticity models to price options. Our model allows for significant negative skewness and time varying higher order...

Persistent link: https://www.econbiz.de/10005100954

Bayesian Inference for Periodic Regime-Switching Models

Ghysels, Eric; McCulloch, Robert E.; Tsay, Ruey S. - Centre Interuniversitaire de Recherche en Analyse des … - 1994

We present a general class of nonlinear time series Markov regime-switching models for seasonal data which may exhibit periodic features in the hidden Markov process as well as in the laws of motion in each of the regimes. This class of models allows for nontrivial dependencies between seasonal,...

Persistent link: https://www.econbiz.de/10005101010

Multivariate Option Pricing With Time Varying Volatility and Correlations

Rombouts, Jeroen; Stentoft, Lars Peter - Centre Interuniversitaire de Recherche en Analyse des … - 2010

In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes to option pricing. Specifically, we derive the risk...

Persistent link: https://www.econbiz.de/10008506122

Marginal Likelihood for Markov-Switching and Change-Point Garch Models

Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen - Centre Interuniversitaire de Recherche en Analyse des … - 2011

GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC methods due to the path dependence problem. An unsolved...

Persistent link: https://www.econbiz.de/10009395940

A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models

Bauwens, Luc; Koop, Gary; Korobilis, Dimitris; … - Centre Interuniversitaire de Recherche en Analyse des … - 2011

This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the parameters defining the model which applies in each regime and the out-of-sample...

Persistent link: https://www.econbiz.de/10008805568

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

Rombouts, Jeroen; Stentoft, Lars Peter - Centre Interuniversitaire de Recherche en Analyse des … - 2010

This paper uses asymmetric heteroskedastic normal mixture models to fit return data and to price options. The models can be estimated straightforwardly by maximum likelihood, have high statistical fit when used on S&P 500 index return data, and allow for substantial negative skewness and time...

Persistent link: https://www.econbiz.de/10008642728

Identification-robust inference for endogeneity parameters in linear structural models

Tchatoka, Firmin Doko; Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2014

We provide a generalization of the Anderson-Rubin (AR) procedure for inference on parameters which represent the dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity parameters). We focus on second-order dependence and stress...

Persistent link: https://www.econbiz.de/10011183777

Selection of the number of factors in presence of structural instability: a Monte Carlo study

Stevanovic, Dalibor; Takongmo, Charles Olivier Mao - Centre Interuniversitaire de Recherche en Analyse des … - 2014

In this paper we study the selection of the number of primitive shocks in exact and approximate factor models in the presence of structural instability. The empirical analysis shows that the estimated number of factors varies substantially across several selection methods and over the last 30...

Persistent link: https://www.econbiz.de/10011242140