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Information and repeat-sales
Simon, Arnaud - HAL - 2007
volatility of the index and the reversibility phenomenon. We study the formal link between the repeat-sales index and the price …
Persistent link: https://www.econbiz.de/10008793522
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FINANCIAL DEVELOPMENT AND INSTABILITY:THE ROLE OF THE LABOUR SHARE
Orgiazzi, Elsa - HAL - 2007
This paper examines the role of the labour share in creating instability in a small open economy. We assume that financial markets are imperfect so that entrepreneurs are credit constrained, and that this constraint is tighter for low levels of financial development. Aghion, Bacchetta and...
Persistent link: https://www.econbiz.de/10008793997
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Options Introduction and Volatility in the EU ETS
Chevallier, Julien; Pen, Yannick Le; Sévi, Benoît - HAL - 2009
market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an … empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By … introduction of the option market had no effect on the volatility in the EU ETS. These finding are robust to other likely …
Persistent link: https://www.econbiz.de/10008794422
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Absorptive Capacity: More Than the Volume of Aid, its Modalities Matter
Guillaumont, Patrick; Jeanneney, Sylviane Guillaumont - HAL - 2011
credits; 2) macroeconomic troubles, including loss of competitiveness and macroeconomic volatility; 3) decrease of aid returns …
Persistent link: https://www.econbiz.de/10008805119
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Volatility made observable at last
Fliess, Michel; Join, Cédric; Hatt, Frédéric - HAL - 2011
, permits, for the first time perhaps, a clear-cut mathematical definition of the volatility of a financial asset. It yields as …
Persistent link: https://www.econbiz.de/10008836782
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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
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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
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LIMITS TO GROWTH AND STOCHASTICS
Bouleau, Nicolas - HAL - 2012
The aim of this article is to use probabilistic ideas to study predictive reasoning based on hypotheses and models, but without using Ito calculus, without writing any stochastic differential equations, in fact without writing any formulas at all. The aim is to extract from the study of...
Persistent link: https://www.econbiz.de/10010899270
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Disentangling crashes from tail events
Aboura, Sofiane - HAL - 2010
the French stock market (1968-2008). In contrast with the common sense, it claims that crashes happen when the volatility …
Persistent link: https://www.econbiz.de/10010899911
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Privileged information exacerbates market volatility
Desgranges, Gabriel; Gauthier, Stéphane - HAL - 2011
We study how asymmetric information affects market volatility in a linear setup where the outcome is determined by …
Persistent link: https://www.econbiz.de/10010635137