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Testing for Leverage Effect in Financial Returns.

Chorro, Christophe; Guegan, Dominique; Ielpo, Florian; … - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014

This article questions the empirical usefulness of leverage effects to describe the dynamics of equity returns. Using a recursive estimation scheme that accurately disentangles the asymmetry coming from the conditional distribution of returns and the asymmetry that is related to the past return...

Persistent link: https://www.econbiz.de/10010753974

Statistical evidence of tax fraud on the carbon allowances market.

Frunza, Marius-Cristian; Guegan, Dominique; … - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010

Arbitrage Pricing Theory-like models and showed that they have a good forecast capacity. Those models enabled us to quantify the …

Persistent link: https://www.econbiz.de/10008679901

Non-stationarity and meta-distribution.

Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...

Persistent link: https://www.econbiz.de/10005510618

Alternative methods for forecasting GDP.

Guegan, Dominique; Rakotomarolahy, Patrick - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010

An empirical forecast accuracy comparison of the non-parametric method, known as multivariate Nearest Neighbor method … for dependent time series, providing confidence intervals for point forecast in time series. …

Persistent link: https://www.econbiz.de/10008461116

Dynamic factor analysis of carbon allowances prices : From classic Arbitrage Pricing Theory to Switching Regimes.

Frunza, Marius-Cristian; Guegan, Dominique; … - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010

The aim of this paper is to identify the fundamental factors that drive the allowances market and to built an APT-like model in order to provide accurate forecasts for CO2. We show that historic dependency patterns emphasis energy, natural gas, oil, coal and equity indexes as major factors...

Persistent link: https://www.econbiz.de/10008461117

Forecasting electricity spot market prices with a k-factor GIGARCH process.

Diongue, Abdou Kâ; Guégan, Dominique; Vignal, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007

method to electricity prices and test spot prices forecasts until one month ahead forecast. We conclude that the k …-factor GIGARCH process is a suitable tool to forecast spot prices, using the classical RMSE criteria. …

Persistent link: https://www.econbiz.de/10005670888

Ambiguity Preferences and Portfolio Choices: Evidence from the Field.

Bianchi, Milo; Tallon, Jean-Marc - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014

We investigate the empirical relation between ambiguity aversion, risk aversion and portfolio choices. We match administrative panel data on portfolio choices with survey data on preferences over ambiguity and risk. We report three main findings. First, conditional on participation, ambiguity...

Persistent link: https://www.econbiz.de/10010942363

Aggregating Tastes, Beliefs, and Attitudes under Uncertainty.

Danan, Eric; Gajdos, Thibault; Hill, Brian; Tallon, … - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014

We provide possibility results on the aggregation of beliefs and tastes for Monotone, Bernoullian and Archimedian preferences of Cerreia-Vioglio, Ghirardato, Maccheroni, Marinacci and Siniscalchi (2011). We propose a new axiom, Unambiguous Pareto Dominance, which requires that if the unambiguous...

Persistent link: https://www.econbiz.de/10010942367

Fair management of social risk.

Fleurbaey, Marc; Zuber, Stéphane - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014

context of risk and uncertainty. We apply the méthod to the problems of managing unemployment allowances (in the context of …

Persistent link: https://www.econbiz.de/10010753973

Cardinal extensions of EU model based on the Choquet integral.

Chateauneuf, Alain; Cohen, Michèle - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

, which allow to take into account observed behaviors as in Allais' paradox under risk or Ellsberg's paradox under uncertainty … uncertainty, and Quiggin and Yaari under risk, succeeded to characterize preferences which generalize the EU model, by means of a … for more diversified patterns of behavior under uncertainty as well under risk. …

Persistent link: https://www.econbiz.de/10004988950