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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

Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance

Fliess, Michel; Join, Cédric - HAL - 2008

New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some … of the volatility with respect to the forecasted trendline, are provided. $\mathcal{Z}$-transform and differential …

Persistent link: https://www.econbiz.de/10008791958

What drives the market value of firms in the Defense industry ?

Capelle-Blancard, Gunther; Couderc, Nicolas - HAL - 2006

This paper investigates the relative importance of different types of news in driving significant stock price changes of firms in the defense industry. We implement a systematic event study with a sample of the 58 largest publicly listed companies in the defense industry, over the time period...

Persistent link: https://www.econbiz.de/10010750506

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

Monetary information arrivals and intraday exchange rate volatility : a comparison of the GARCH and the EGARCH models

Mokhtar, Darmoul; Harrathi, Nizar - HAL - 2007

In this article, we examine the intradaily Euro-dollar exchange rate volatility persistence result from the …. It is found that, unlike the equity market, the best volatility predictions are derived from the EGARCH(1,1) process. …

Persistent link: https://www.econbiz.de/10010750845

Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy

Caillault, Cyril; Guegan, Dominique - HAL - 2009

Using non-parametric and parametric models, we show that the bivariate distribution of an Asian portfolio is not stable along all the period under study. We suggest several dynamic models to compute two market risk measures, the Value at Risk and the Expected Shortfall: the RiskMetrics...

Persistent link: https://www.econbiz.de/10010738564

Multi-period conditional distribution functions for heteroscedastic models with applications to VaR.

Brummelhuis, Raymond; Guegan, Dominique - HAL - 2005

quantile estimation. The results are relevant for the estimation of multi-period Value at Risk and prove that the heuristic …

Persistent link: https://www.econbiz.de/10008792107

A Regional Analysis of Markets Uncertainty Spillovers

Bensafta, Kamel Malik - HAL - 2014

GARCH with variance regime change. The interest of the model with regime change is to correct the estimation bias caused by … volatility shocks. They also show the high exposure of European and Asian markets to the uncertainties of North American markets …

Persistent link: https://www.econbiz.de/10010899913

The impact of phase II of the EU ETS on the electricity-generation sector

Ahamada, Ibrahim; Kirat, Djamel - HAL - 2012

This paper addresses the economic impact of the European Union Emission Trading Scheme (EU ETS) for carbon on wholesale electricity prices in France and Germany during the Kyoto commitment period (2008-2012). Specifically, we use first identify a structural break occurred on the carbon spot...

Persistent link: https://www.econbiz.de/10010635093

Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study

Mogliani, Matteo - HAL - 2010

The aim of this paper is to study the performance of residual-based tests for cointegration in the presence of multiple deterministic structural breaks via Monte Carlo simulations. We consider the KPSS-type LM tests proposed in Carrion-i-Silvestre and Sansò (2006) and in Bartley, Lee and...

Persistent link: https://www.econbiz.de/10010738963