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Economically rational expectations theory: evidence from the WTI oil price survey data

Prat, Georges; Uctum, Remzi - HAL - 2006

In the light of the economically rational expectation theory, this article shows how an expert chooses an optimal oil price forecast function given that information is costly. In this framework we propose an expectational process which nests all processes considered in the literature. By...

Persistent link: https://www.econbiz.de/10008789498

Vulnerabilities in Central and Eastern European countries: Dynamics of asymmetric shocks

Zdzienicka-Durand, Aleksandra - HAL - 2009

In this work, we use the VAR and space-state methodology to analyze how the recent developments in 20 European countries have modified the dynamics of structural shocks. Our results confirm a visible progress in (predominated output fluctuations) supply shocks convergence between the CEECs and...

Persistent link: https://www.econbiz.de/10008791757

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

Systematic and multifactor risk models revisited

Fliess, Michel; Join, Cédric - HAL - 2013

Systematic and multifactor risk models are revisited via methods which were already successfully developed in signal processing and in automatic control. The results, which bypass the usual criticisms on those risk modeling, are illustrated by several successful computer experiments.

Persistent link: https://www.econbiz.de/10010898688

To what extent do exchange rates and their volatility affect trade ?

Huchet-Bourdon, Maryline; Korinek, J. - HAL - 2011

unequivocally clear picture of the trade impacts of changes in exchange rates. The impact of exchange rate volatility on trade also … their volatility on trade flows in China, the Euro area and the United States in two broadly defined sectors, agriculture on … the one hand and manufacturing and mining on the other. It finds that exchange volatility impacts trade flows only …

Persistent link: https://www.econbiz.de/10010899210