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A class of models satisfying a dynamical version of the CAPM

Jouini, Elyès; Napp, Clotilde - HAL - 2003

Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.

Persistent link: https://www.econbiz.de/10008793270

Energy Risk Management with Carbon Assets

Chevallier, Julien - HAL - 2009

the CAPM. These results reveal that carbon, gas, coal and bond assets share the best properties for composing an optimal …

Persistent link: https://www.econbiz.de/10008793949

The CAPM versus the risk neutral pricing model

Pepin, Dominique - HAL - 2002

We compare the risk neutral pricing model with the CAPM when it is understood that both models are incorrect. We show …

Persistent link: https://www.econbiz.de/10010899378

Credit constraints and the cyclicality of R&D investment: Evidence from France

Aghion, Philippe; Askenazy, Philippe; Berman, Nicolas; … - HAL - 2008

&D investment and productivity growth are more negatively correlated with sales volatility in more credit constrained firms. …

Persistent link: https://www.econbiz.de/10010930234

Financial Markets Equilibrium with Heterogeneous Agents

Cvitanic, Jaksa; Jouini, Elyès; Malamud, Semyon; Napp, … - HAL - 2012

market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility as well as …

Persistent link: https://www.econbiz.de/10009360288

Fire Sales Forensics: Measuring Endogenous Risk

Cont, Rama; Wagalath, Lakshithe - HAL - 2012

We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large …

Persistent link: https://www.econbiz.de/10010548433

Preliminary remarks on option pricing and dynamic hedging

Fliess, Michel; Join, Cédric - HAL - 2012

An elementary arbitrage principle and the existence of trends in financial time series, which is based on a theorem published in 1995 by P. Cartier and Y. Perrin, lead to a new understanding of option pricing and dynamic hedging. Intricate problems related to violent behaviors of the underlying,...

Persistent link: https://www.econbiz.de/10010551681

The rationality of expectations formation and excess volatility

Davila, Julio - HAL - 2008

with limited memory, then there are rationally formed expectations equilibria exhibiting an excess volatility that no … one from a positive viewpoint, this result suggests that the possibility of excess volatility as an equilibrium phenomenon …

Persistent link: https://www.econbiz.de/10010750627

A multi-horizon scale for volatility

Subbotin, Alexander - HAL - 2008

We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic …

Persistent link: https://www.econbiz.de/10010750636

Remittances, financing constraints and growth volatility : Do remittances dampen or magnify shocks ?

Coulibaly, Dramane - HAL - 2009

This paper studies empirically the link between remittances and growth volatility by examining the impact of … of moment (GMM) technique for a sample of 63 countries over the 1980-2004 period. The volatility of terms of trade and … inflation is used to proxy for real and monetary volatility, respectively. The results show that the impact of remittances on …

Persistent link: https://www.econbiz.de/10010738454