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Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint

Garcia, René; Gençay, Ramazan - Centre Interuniversitaire de Recherche en Analyse des … - 1998

We estimate a generalized option pricing formula that has a functional shape similar to the usual Black-Scholes formula by a feedforward neural network model. This functional shape is obtained when the option pricing function is homogeneous of degree one with respect to the underlying asset...

Persistent link: https://www.econbiz.de/10005417552

An Empirical Analysis of the Canadian Budget Process

Campbell, Bryan; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 1995

This paper provides a statistical analysis of the forecasts of significant number of expenditure and revenue components of the Federal budget provided each year by the Department of Finance. The sample available for such an investigation is limited and we describe an easily-applied nonparametric...

Persistent link: https://www.econbiz.de/10005100678

Économétrie, théorie des tests et philosophie des sciences

Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2000

In this text, we review some recent developments in econometrics that may be of interest to specialists in other areas than economics, and we discuss some relations of econometric methodology with general themes of scientific methodology and philosophy of science, such as the falsifiability...

Persistent link: https://www.econbiz.de/10005100745

Kernel Autocorrelogram for Time Deformed Processes

Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joanna - Centre Interuniversitaire de Recherche en Analyse des … - 1996

The purpose of the paper is to propose an autocorrelogram estimation procedure for irregularly spaced data which are modelled as subordinated continuous time series processes. Such processes, also called time deformed stochastic processes, have been discussed in a variety of contexts. Before...

Persistent link: https://www.econbiz.de/10005100953

Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions

Dufour, Jean-Marie; Farhat, Abdeljelil - Centre Interuniversitaire de Recherche en Analyse des … - 2001

In this paper, we study several tests for the equality of two unknown distributions. Two are based on empirical distribution functions, three others on nonparametric probability density estimates, and the last ones on differences between sample moments. We suggest controlling the size of such...

Persistent link: https://www.econbiz.de/10005101079

Dynamic Models of R&D, Innovation and Productivity: Panel Data Evidence for Dutch and French Manufacturing

Raymond, Wladimir; Mairesse, Jacques; Mohnen, Pierre; … - Centre Interuniversitaire de Recherche en Analyse des … - 2013

This paper introduces dynamics in the R&D to innovation and innovation to productivity relationships, which have mostly … conditional mean of labor productivity: through an observed binary indicator, an observed intensity variable or through the … Community Innovation Survey. The results provide evidence of robust unidirectional causality from innovation to productivity and …

Persistent link: https://www.econbiz.de/10011183685

Revisiting the Porter Hypothesis: An Empirical Analysis of Green Innovation for the Netherlands

Leeuwen, George van; Mohnen, Pierre - Centre Interuniversitaire de Recherche en Analyse des … - 2013

productivity. This paper addresses the Porter Hypothesis within a structural approach that allows us to test what is known in the … three types of innovations simultaneously and their synergy in affecting total factor productivity (TFP) performance. Using …

Persistent link: https://www.econbiz.de/10011183689

Les innovations en matière de politiques économiques et leur incidence sur la productivité Le cas de la Bavière

Aubert, Benoit A.; Landry, Simon; Patry, Michel - Centre Interuniversitaire de Recherche en Analyse des … - 2004

his description, produced within the CIRANO research program on productivity, seeks to unearth the innovative economic …

Persistent link: https://www.econbiz.de/10005100452

Les innovations en matière de politiques économiques et leur incidence sur la productivité Le cas de la Nouvelle-Zélande

Aubert, Benoit A.; Landry, Simon; Patry, Michel - Centre Interuniversitaire de Recherche en Analyse des … - 2004

his description, produced within the CIRANO research program on productivity, seeks to unearth the innovative economic …

Persistent link: https://www.econbiz.de/10005100458

Environmental Regulation and Productivity: New Findings on the Porter Analysis

Lajeunesse, Richard; Lanoie, Paul; Patry, Michel - Centre Interuniversitaire de Recherche en Analyse des … - 2001

total factor productivity (TFP) growth in the Quebec manufacturing sector. This allows us to investigate more fully the …: 1) the contemporaneous impact of environmental regulation on productivity is negative, 2) the opposite result is …

Persistent link: https://www.econbiz.de/10005100595