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Benoit Mandelbrot et la modélisation mathématique des risques financiers
Cont, Rama - HAL - 2011
Benoit Mandelbrot, mathématicien et savant multidisciplinaire, s'intéressa très tôt dans sa carrière à l'étude statistique des données économiques et financières et fut à l'origine de nombreuses idées importantes dans la modélisation statistique des risques financiers, sujet qui le...
Persistent link: https://www.econbiz.de/10009369213
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An Axiomatic Approach to Proportionality between Matrices
Balinski, Michel; Demange, Gabrielle - HAL - 1989
the case of f real the solution turns out to coincide with what has been variously called biproportional scaling and …
Persistent link: https://www.econbiz.de/10010898972
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An exponential FISTAR model applied to the US real effective exchange rate
Boutahar, Mohamed; Mootamri, Imene; Peguin-Feissolle, Anne - HAL - 2007
The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing nonlinearity and …
Persistent link: https://www.econbiz.de/10008794103
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A fractionally integrated exponential STAR model applied to the US real effective exchange rate
Boutahar, Mohamed; Mootamri, Imene; Peguin-Feissolle, Anne - HAL - 2008
The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing nonlinearity and …
Persistent link: https://www.econbiz.de/10008794371
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A Smooth Transition Long-Memory Model
Aloy, Marcel; Dufrenot, Gilles; Tong, Charles Lai; … - HAL - 2012
This paper proposes a new fractional model with a time-varying long-memory parameter. The latter evolves nonlinearly according to a transition variable through a logistic function. We present a LR-based test that allows to discriminate between the standard fractional model and our model. We...
Persistent link: https://www.econbiz.de/10010933920
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Exchange Rate Flexibility across Financial Crises
Coudert, Virginie; Couharde, Cécile; Mignon, Valérie - HAL - 2010
by the exchange rate volatility, and investigate their relationship to a global financial stress indicator, measured by … the volatility on global markets. We introduce the possibility of non-linearities by running smooth transition regressions …
Persistent link: https://www.econbiz.de/10011026166
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A test for a new modelling : The Univariate MT-STAR Model
Addo, Peter Martey; Billio, Monica; Guegan, Dominique - HAL - 2011
In ESTAR models it is usually quite difficult to obtain parameter estimates, as it is discussed in the literature. The problem of properly distinguishing the transition function in relation to extreme parameter combinations often leads to getting strongly biased estimators. This paper proposes a...
Persistent link: https://www.econbiz.de/10010635009
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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