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Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations

Bu, Ruijun; Giet, Ludovic; Hadri, Kaddour; Lubrano, Michel - HAL - 2009

We propose a new approach for modeling non-linear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of non-linear SDEs that are reducible to Ornstein-Uhlenbeck...

Persistent link: https://www.econbiz.de/10008793845

The persistence of firms' knowledge base: a quantile approach to Italian data

Colombelli, Alessandra; Quatraro, Francesco - HAL - 2014

investigated their patterns of persistence over time. The empirical analysis is implemented by exploring the autocorrelation …

Persistent link: https://www.econbiz.de/10010933797

Testing for Spatial Autocorrelation in a Fixed Effects Panel Data Model

Debarsy, Nicolas; Ertur, Cem - HAL - 2009

spatial autocorrelation in a fixed effectspanel data model. These tests allow discriminating between the two main typesof … spatial autocorrelation which are relevant in empirical applications, namelyendogenous spatial lag versus spatially … spatial autocorrelation whatever its type. Hence, it indicates whetherspecific econometric estimation methods should be …

Persistent link: https://www.econbiz.de/10008789245

The persistence of firms' knowledge base: A quantile approach to Italian data

Colombelli, Alessandra; Quatraro, Francesco - HAL - 2013

investigated their patterns of persistence over time. The empirical analysis is implemented by exploring the autocorrelation …

Persistent link: https://www.econbiz.de/10011026232

Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems

Aloy, Marcel; Truchis, Gilles De - HAL - 2013

Estimation methods of bivariate fractional cointegration models are numerous. In most cases they have non-equivalent asymptotic and finite sample properties, implying diffculties in determining an optimal estimation strategy. In this paper, we address this issue by means of simulations and...

Persistent link: https://www.econbiz.de/10010933833

A range based Multi-Actor Multicriteria Analysis to incorporate uncertainty in stakeholder based evaluation processes

Baudry, Gino; Macharis, Cathy; Vallée, Thomas - HAL - 2014

Increasing concerns about environmental and social impacts have made multicriteria analysis (MCA) increasingly popular in decision making processes. The present paper proposes a new methodology which allows taking into account multicriteria aspects, stakeholder's preferences and long time...

Persistent link: https://www.econbiz.de/10010821438

Double Kernel estimation of sensitivities

Elie, Romuald - HAL - 2009

This paper adresses the general issue of estimating the sensitivity of the expectation of a random variable with respect to a parameter characterizing its evolution. In finance for example, the sensitivities of the price of a contingent claim are called the Greeks. A new way of estimating the...

Persistent link: https://www.econbiz.de/10008790983

Stochastic Risk vs. Policy Oriented Uncertainties: The Case of the Alpine Crossings

Brunel, Julien - HAL - 2004

This paper focuses on uncertainties in traffic forecasting. Three major sources of uncertainties are observed for freight demand models. The first one is the model specification itself. We are not interested by it. The second one concerns uncertainties over forecasting hypotheses. A mean to...

Persistent link: https://www.econbiz.de/10008792030

Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework

Benabid, Anas; Bensusan, Harry; Karoui, Nicole El - HAL - 2008

In this paper, a study of a stochastic volatility model for asset pricing is described. Originally presented by J. Da Fonseca, M. Grasselli and C. Tebaldi, the Wishart volatility model identifies the volatility of the asset as the trace of a Wishart process. Contrary to a classic multifactor...

Persistent link: https://www.econbiz.de/10008793719

Pilotage d'une chaîne logistique par une approche de type MRP dans un environnement partiellement aléatoire

Giard, Vincent; Sali, Mustapha - HAL - 2012

This article focuses on the monitoring of a supply chain dedicated to the mass production of strongly diversified products. In particular we are interested in the part of this chain that contributes to the production of a set of alternative modules assembled on a work station of one or several...

Persistent link: https://www.econbiz.de/10010899826

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