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Audrino, Francesco; Bühlmann, Peter - School of Economics and Political Science, Universität … - 2007

We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies on the idea of using multivariate B-splines of lagged observations and volatilities. Estimation of such a B-spline basis expansion is constructed within the likelihood framework...

Persistent link: https://www.econbiz.de/10005797706

Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process

Audrino, Francesco; Medeiros, Marcelo C. - School of Economics and Political Science, Universität … - 2008

In this paper we propose a smooth transition tree model for both the conditional mean and the conditional variance of the short-term interest rate process. Our model incorporates the interpretability of regression trees and the flexibility of smooth transition models to describe regime switches...

Persistent link: https://www.econbiz.de/10005696729

Pricing CAC 40 Index Options with Stochastic Volatility

Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2005

This paper fulfills the lack of option pricing empirical studies devoted to the French market and is also the first paper that brings a comparison between the Heston (1993) closed-form solution model and the Hull and White (1988) model, built in a series expansion form. The empirical study is...

Persistent link: https://www.econbiz.de/10010905284

Iterated importance sampling in missing data problems

Celeux, Gilles; Marin, Jean-Michel; Robert, Christian P. - Université Paris-Dauphine (Paris IX) - 2006

Missing variable models are typical benchmarks for new computational techniques in that the ill-posed nature of missing variable models offer a challenging testing ground for these techniques. This was the case for the EM algorithm and the Gibbs sampler, and this is also true for importance...

Persistent link: https://www.econbiz.de/10010708157

Empirical Performance Study of Alternative Option Pricing Models: An Application to the French Option Market

Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2013

The mispricing of the deep-in-the money and deep-out-the-money generated by the Black and Scholes model is now well documented in the literature. In this paper, we discuss different option valuation models on the basis of empirical tests carry out on the French option market. We examine methods...

Persistent link: https://www.econbiz.de/10010891140

Sovereign credit ratings, market volatility, and financial gains

Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - European Central Bank - 2014

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …

Persistent link: https://www.econbiz.de/10010753741

Detecting instability in the volatility of carbon prices

Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2011

measures of volatility for European Union Allowances, based on daily data (EGARCH model), option prices (implied volatility … recursively or with moving estimates). We show evidence of strong shifts mainly for the EGARCH and IV models during the time …

Persistent link: https://www.econbiz.de/10010706707

GARCH models without positivity constraints: Exponential or Log GARCH?

Zakoïan, Jean-Michel; Wintenberger, Olivier; Francq, … - Université Paris-Dauphine (Paris IX) - 2013

This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on …, existence of moments, tails) of the EGARCH model, which are already known, with those of an asymmetric version of the log … normal. Similar estimation results are only available for particular EGARCH models, and under much stronger assumptions. The …

Persistent link: https://www.econbiz.de/10011072512

Robust Value at Risk Prediction

Mancini, Loriano; Trojani, Fabio - School of Economics and Political Science, Universität … - 2007

We propose a general robust semiparametric bootstrap method to estimate conditional predictive distributions of GARCH-type models. Our approach is based on a robust estimator for the parameters in GARCH-type models and a robustified resampling method for standardized GARCH residuals, which...

Persistent link: https://www.econbiz.de/10005453980

Computing the mean and the variance of the cedent's share for largest claims reinsurance covers

Hess, Christian - Université Paris-Dauphine (Paris IX) - 2009

We present mathematical results allowing one to evaluate the moments of order 1 and 2 of the cedent's share in the framework of reinsurance treaties based on ordered claimsizes. These results consist of closed analytical formulas that do not involve any approximation procedure. This is...

Persistent link: https://www.econbiz.de/10010707051