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Further evidence on the impact of economic news on interest rates
Guegan, Dominique; Ielpo, Florian - HAL - 2007
interpretation and classification of these different shapes. Fourth, we find that the existence of some outliers in the one …
Persistent link: https://www.econbiz.de/10010750499
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Realised quantile-based estimation of the integrated variance
Christensen, Kim; Oomen, Roel; Podolskij, Mark - HAL - 2010
. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in …
Persistent link: https://www.econbiz.de/10010570523
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Volatility Persistence in Crude Oil Markets
Charles, Amélie; Darné, Olivier - HAL - 2012
volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude … volatility model. Secondly, we identify outliers using intervention analysis and conditional heteroscedasticity model. These … announcements on crude inventories. We show that outliers can bias the estimation of the persistence of the volatility. Taking into …
Persistent link: https://www.econbiz.de/10010558719
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Realised quantile-based estimation of the integrated variance
Christensen, Kim; Oomen, Roel; Podolskij, Mark - HAL - 2010
. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in …
Persistent link: https://www.econbiz.de/10010898908
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A challenge to triumphant optimists? A blue chips index for the Paris Stock-Exchange (1854-2007)
Bris, David Le; Hautcoeur, Pierre-Cyrille - HAL - 2009
We analyze a new blue chips (large caps) stock index for France from 1854 to 1998. We detail its methodology and show that it differs profoundly from earlier indices, and that it is more consistent with the French financial and economic history. We suggest this result casts some doubt on many...
Persistent link: https://www.econbiz.de/10010738877
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A challenge to triumphant optimists? A blue chips index for the Paris Stock-Exchange (1854-2007)
Bris, David Le; Hautcoeur, Pierre-Cyrille - HAL - 2010
We analyze a new blue chips (large caps) stock index for France from 1854 to 1998. We detail its methodology and show that it differs profoundly from earlier indices, and that it is more consistent with the French financial and economic history. We suggest this result casts some doubt on many...
Persistent link: https://www.econbiz.de/10008792271
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Viewing Risk Measures as information
Guegan, Dominique; Tarrant, Wayne - HAL - 2012
Regulation and Risk management in banks depend on underlying risk measures. In general this is the only purpose that is seen for risk measures. In this paper, we suggest that the reporting of risk measures can be used to determine the loss distribution function for a financial entity. We...
Persistent link: https://www.econbiz.de/10010930200
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Loss-Based Risk Measures
Cont, Rama; Deguest, Romain; He, Xuedong - HAL - 2011
Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We characterize loss-based risk measures by a representation theorem...
Persistent link: https://www.econbiz.de/10009328156
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On the necessity of five risk measures
Guegan, Dominique; Tarrant, Wayne - HAL - 2010
The banking systems that deal with risk management depend on underlying risk measures. Following the recommendation of the Basel II accord, most banks have developed internal models to determine their capital requirement. The Value at Risk measure plays an important role in computing this...
Persistent link: https://www.econbiz.de/10010549093
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On the Necessity of Five Risk Measures
Guegan, Dominique; Tarrant, Wayne - HAL - 2012
The banking systems that deal with risk management depend on underlying risk measures. Following the recommendation of the Basel II accord, most banks have developed internal models to determine their capital requirement. The Value at Risk measure plays an important role in computing this...
Persistent link: https://www.econbiz.de/10010610166