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Chaos in economics and finance
Guegan, Dominique - HAL - 2007
In this article, we specify the different approaches followed by the economists and the financial economists in order to use chaos theory. We explain the main difference using this theory with other research domains like the mathematics and the physics. Finally, we present tools necessary for...
Persistent link: https://www.econbiz.de/10010738474
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Chaos in Economics and Finance
Guegan, Dominique - HAL - 2009
This paper focuses on the use of dynamical chaotic systems in Economics and Finance. In these fields, researchers employ different methods from those taken by mathematicians and physicists. We discuss this point. Then, we present statistical tools and problems which are innovative and can be...
Persistent link: https://www.econbiz.de/10010738625
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A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates
Guegan, Dominique - HAL - 2003
We investigate some statistical properties of the new k-factor Gegenbauer process with heteroscedastic noises One of the goals of the paper is to give tools which permit to use this model to explain the behaviour of certain data sets in finance and in macroeconomics. Monte Carlo experiments are...
Persistent link: https://www.econbiz.de/10008788958
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Dependence modelling of the joint extremes in a portfolio using Archimedean copulas : application to MSCI indices
Guegan, Dominique; Ladoucette, Sophie A. - HAL - 2005
Using Archimedean copulas, we investigate the dependence structure existing between several series of financial assets log-returns that come from different markets. These series are considered as components of a portfolio and they are investigated on a long period including high shocks. To...
Persistent link: https://www.econbiz.de/10008791451
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A k- factor GIGARCH process : estimation and application to electricity market spot prices,
Guegan, Dominique; Diongue, Abdou Kâ; Vignal, Bertrand - HAL - 2004
propose two methods to address the related parameter estimation problem. For each method, we develop the asymptotic theory for … this estimation. …
Persistent link: https://www.econbiz.de/10008792746
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Estimating parameters for a k-GIGARCH process
Diongue, Abdou Kâ; Guegan, Dominique - HAL - 2004
propose two methods to address the related parameter estimation problem. For each method, we develop the asymptotic theory for … this estimation. …
Persistent link: https://www.econbiz.de/10008793109
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Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests
Dumitrescu, Elena-Ivona; Hurlin, Christophe; Pham, Vinson - HAL - 2012
sample properties in realistic sample settings (5% coverage rate with estimation risk). An application on a portfolio …In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To …
Persistent link: https://www.econbiz.de/10009651571
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Non-stationarity and meta-distribution
Guegan, Dominique - HAL - 2008
, we address a discussion on this topic proposing the concept of meta-distribution which can be used to improve risk …
Persistent link: https://www.econbiz.de/10010750362
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Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy
Caillault, Cyril; Guegan, Dominique - HAL - 2009
along all the period under study. We suggest several dynamic models to compute two market risk measures, the Value at Risk …
Persistent link: https://www.econbiz.de/10010738564
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Enterprise risk management: A process for enhanced management and improved performance
Gates, Stephen; Nicolas, Jean-Louis; Walker, Paul L. - HAL - 2012
Some company boards of directors and management teams are still reluctant to embrace enterprise risk management (ERM …) because of the uncertainty regarding its value to the bottom line. A survey of audit and risk management executives suggests … that the use of ERM leads to increased management consensus, better-informed decisions, enhanced communication of risk …
Persistent link: https://www.econbiz.de/10010691385