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Climate policies as a hedge against the uncertainty on future oil supply

Rozenberg, Julie; Hallegatte, Stéphane; Vogt-Schilb, Adrien - HAL - 2010

Despite the inextricable link between oil scarcity and climate change, the interplay between these two issues is paradoxically an underworked area. This article uses a global energy-economy model to address the link between future oil supply and climate change and assesses in a common framework...

Persistent link: https://www.econbiz.de/10009647577

Climate policies as a hedge against the uncertainty on future oil supply

Rozenberg, Julie; Hallegatte, Stéphane; Vogt-Schilb, Adrien - HAL - 2010

Persistent link: https://www.econbiz.de/10010738735

Pricing bivariate option under GARCH processes with time-varying copula

Zhang, Jing; Guegan, Dominique - HAL - 2008

Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen stock composite indexes. Results show that the option prices obtained by the time-varying copula model …

Persistent link: https://www.econbiz.de/10010750766

Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market

Guegan, Dominique; Zhang, Jing - HAL - 2007

is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …

Persistent link: https://www.econbiz.de/10010750828

Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market

Guegan, Dominique; Zhang, Jing - HAL - 2009

Persistent link: https://www.econbiz.de/10010738494

Pricing bivariate option under GARCH processes with time-varying copula

Zhang, Jing; Guegan, Dominique - HAL - 2008

Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen Stock Composite Indexes. Results show that the option prices obtained by the time-varying copula model …

Persistent link: https://www.econbiz.de/10010738655

The Credit Default Swap Market's Determinants

Greatrex, Caitlin Ann - Economics Department, Fordham University - 2008

This paper explores the ability of variables suggested by structural models to explain variation in CDS spread changes. Using monthly changes in CDS spreads for 333 firms from January, 2001 â€“ March, 2006, I find that these variables are able to explain thirty percent of the variation in...

Persistent link: https://www.econbiz.de/10005800472

Credit Default Swaps, Contract Theory, Public Debt, and Fiat Money Regimes: Comment on Polleit and Mariano

Méra, Xavier - HAL - 2013

In this paper, I show that Polleit and Mariano (2011) are right in concluding that Credit Default Swaps (CDS) are per se unobjectionable from Rothbard's libertarian perspective on property rights and contract theory, but that they fail to derive this conclusion properly. I therefore outline the...

Persistent link: https://www.econbiz.de/10010820940

Les Dérivés de Crédit: Étude Des Répercussions de la Prime de Risque de la Variance (PRV) Sur Les (Credit Default Swap)

Zgolli, Ghada - HAL - 2012

Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using cross sectional regressions. These theoretical determinants are variance risk premia, implied volatility and the...

Persistent link: https://www.econbiz.de/10010821297

Les dérivés de crédit : instruments de couverture et facteurs d'instabilité. L'exemple des « Credit Default Swap ».

Rey, Nathalie - HAL - 2007

Cet article montre, à partir d'une analyse sur longue période 2001-2007 des relations inter temporelles entre les marchés français des credit default swap (CDS), des actions et des obligations, comment une innovation financière comme les CDS pourrait être à l'origine d'une instabilité...

Persistent link: https://www.econbiz.de/10008792905