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Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - Centre Interuniversitaire de Recherche en Analyse des … - 2011
theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The …
Persistent link: https://www.econbiz.de/10008855592
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Risk, Timing and Overoptimism in Private Placements and Public Offerings
Carpentier, Cécile; L'Her, Jean-François; Smith, Stephan - Centre Interuniversitaire de Recherche en Analyse des … - 2007
We examine whether risk, timing or mispricing hypotheses can explain the underperformance of private and public equity … issuers, in Canada, where both categories share several common characteristics. Adding an investment risk factor to the TFPM …
Persistent link: https://www.econbiz.de/10005100594
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Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates
Garcia, René; Luger, Richard - Centre Interuniversitaire de Recherche en Analyse des … - 2009
specification. We contrast it with an arbitrage-free model, where prices of risk are estimated freely without preference constraints …
Persistent link: https://www.econbiz.de/10005052204
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Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models
Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003
Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modèle de régression linéaire multivarié (RLM). Les tests que nous développons sont fonction des résidus obtenus par moindres carrés multivariés, lesquels sont standardisés de façon à ce que...
Persistent link: https://www.econbiz.de/10005100629
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Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003
level. The tests proposed are applied to an asset pricing model with observable risk-free rates, using monthly returns on …
Persistent link: https://www.econbiz.de/10005100677
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Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2002
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10005100885
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Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2005
In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in...
Persistent link: https://www.econbiz.de/10005100963
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The Determinants of Credit Default Swap Premia
Ericsson, Jan; Jacobs, Kris; Oviedo, Rodolfo A. - Centre Interuniversitaire de Recherche en Analyse des … - 2004
theoretical determinants of default risk and actual market premia using linear regression. These theoretical determinants are firm … leverage, volatility and the riskless interest rate. We find that estimated coefficients for these variables are consistent … premia is approximately 23%. Volatility and leverage by themselves also have substantial explanatory power for credit default …
Persistent link: https://www.econbiz.de/10005100839
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Real Options at Bell Canada
Boyer, Marcel; Gravel, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2003
In this report, we first develop a simplified example that illustrates the importance of considering the option ``waiting to invest'' when valuing an investment. This is followed by a short description of other options that could be embedded in an investment opportunity. In order to stress the...
Persistent link: https://www.econbiz.de/10005100465
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Real Options, Preemption, and the Dynamics of Industry Investments
Boyer, Marcel; Lasserre, Pierre; Mariotti, Thomas; … - Centre Interuniversitaire de Recherche en Analyse des … - 2001
industry investment occurs earlier than socially optimal and the first entrant takes more risk than socially optimal. While …, taking the form of postponed capacity investment, may occur in Markov Perfect Equilibrium. Volatility and the expected speed …
Persistent link: https://www.econbiz.de/10005100881