Showing 1 - 10 of 21
The aim of this thesis is to improve the management of financial risks through the employment of econometric methods … effects that market liquidity risks encounter. This procedure can be useful to provide a better management of the liquidity …
Persistent link: https://www.econbiz.de/10011074619
Alternative assets are gaining increasing importance in investors' portfolios. One of their defining characteristic is their poor liquidity, which often translates into an inherent smoothing process of the returns. For asset allocation purposes, this feature has to be seriously addressed as it...
Persistent link: https://www.econbiz.de/10010706658
In this study, we test the size and the book to market effects in explaining stock returns with co-skewness and co-kurtosis on the French Stock Market over July 1976 to June 2001 period. Results of time series regressions of monthly portfolio returns are consistent with the Fama and French...
Persistent link: https://www.econbiz.de/10010905281
L'étude du modèle à trois facteurs en présence des comoments d'ordres trois et quatre dans le cadre du marché français fait l'objet de cet article. Le pouvoir explicatif des portefeuilles de marché, HML et SMB est testé en présence des portefeuilles de co-skewness et de co-kurtosis. À...
Persistent link: https://www.econbiz.de/10008520040
L'étude du modèle à trois facteurs en présence des comoments d'ordres trois et quatre dans le cadre du marché français fait l'objet de cet article. Le pouvoir explicatif des portefeuilles de marché, HML et SMB est testé en présence des portefeuilles de co-skewness et de co-kurtosis. À...
Persistent link: https://www.econbiz.de/10008532461
Persistent link: https://www.econbiz.de/10010706516
We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used...
Persistent link: https://www.econbiz.de/10010706618
In this study, we test the size and the book to market effects in explaining stock returns with co-skewness and co-kurtosis on the French Stock Market over July 1976 to June 2001 period. Results of time series regressions of monthly portfolio returns are consistent with the Fama and French...
Persistent link: https://www.econbiz.de/10010708428
Une approche pluridisciplinaire : fondamentaux de la gestion financière, l'investment banking, l'évaluation d'entreprise...
Persistent link: https://www.econbiz.de/10010708782
Depuis une vingtaine d'années, le domaine des mathématiques qui servent aux métiers de la finance s'est considérablement étendu. Intégrant tous les développements récents, ce livre prend le parti de présenter ces outils mathématiques en liaison avec l'application à laquelle ils sont...
Persistent link: https://www.econbiz.de/10011074069