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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 in a multi-asset setting. Our results enable to quantify the impact of fire sales on the covariance structure 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

The impact of monetary policy signals on the intradaily euro-dollar volatility

Mokhtar, Darmoul - HAL - 2006

intradaily Euro-dollar volatility, using high-frequency data (five minutes frequency). For that, we estimate an AR(1)-GARCH(1 … a dissymmetry between the effect of the ECB and Federal Reserve signals on the exchange rate volatility. …

Persistent link: https://www.econbiz.de/10010750789

Equilibrium on International Assets and Goods Markets

Fontaine, Patrice; Van, Cuong Le - HAL - 2010

Most of the international asset pricing models are developed in the situation where purchasing power parity (PPP) is not respected. Investors of different countries do not agree on expected security returns. However, in this case, an equilibrium on the international assets market may exist but...

Persistent link: https://www.econbiz.de/10010603675

Switching Between Expectation Processes in the Foreign Exchange Market: A Probabilistic Approach Using Survey Data

Prat, Georges; Uctum, Remzi - HAL - 2007

This paper relaxes a fundamental hypothesis commonly accepted in the expectation formation literature: expectations are, unchangingly, either rational or generated by one of the three simple extrapolative, regressive or adaptive processes. Using expectations survey data provided by Consensus...

Persistent link: https://www.econbiz.de/10008789553

Fractional integration and cointegration in stock prices and exchange rates

Aloy, Marcel; Boutahar, Mohamed; Gente, Karine; … - HAL - 2010

This paper examines the relationships between the CAC40 index, the Dow Jones index and the Euro/USD exchange rate using daily data over the period 1999-2008. We find that these variables are I(1) nonstationary series, but they are fractionally cointegrated: equilibrium errors exhibit slow mean...

Persistent link: https://www.econbiz.de/10008793955

Forecasting exchange rates better than the random walk thanks to machine learning techniques

Amat, Christophe; Michalski, Tomasz; Stoltz, Gilles - HAL - 2014

Using methods from machine learning - adaptive sequential ridge regression with discount factors - that prevent overfitting in-sample for better and more stable forecasting performance out-of-sample we show that fundamentals from the PPP, UIRP and monetary models consistently improve the...

Persistent link: https://www.econbiz.de/10010899931

Understanding Exchange Rates Dynamics

Addo, Peter Martey; Billio, Monica; Guegan, Dominique - HAL - 2013

With the emergence of the chaos theory and the method of surrogates data, nonlinear approaches employed in analysing time series typically suffer from high computational complexity and lack of straightforward explanation. Therefore, the need for methods capable of characterizing time series in...

Persistent link: https://www.econbiz.de/10010635079

Multiple Large Shareholders and Earnings Informativeness

Boubaker, Sabri; Sami, Hind - HAL - 2011

Purpose - The purpose of this paper is to add to our understanding of the monitoring role of multiple large shareholders by examining their impact on the informativeness of firms' earnings. Design/methodology/approach - We use regression models that relate earnings to stock returns for a sample...

Persistent link: https://www.econbiz.de/10009323502

Long Memory Process in Asset Returns with Multivariate GARCH innovations

Mootamri, Imene - HAL - 2011

The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the volatility of a … first conditional moment of US stock returns through multivariate ARFIMA process and the time-varying feature of volatility …

Persistent link: https://www.econbiz.de/10009644795

The power of some standard tests of stationarity against changes in the unconditional variance

Ahamada, Ibrahim; Boutahar, Mohamed - HAL - 2010

Abrupt changes in the unconditional variance of returns have been recently revealed in many empirical studies. In this paper, we show that traditional KPSS-based tests have a low power against nonstationarities stemming from changes in the unconditional variance. More precisely, we show that...

Persistent link: https://www.econbiz.de/10010603693