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The Effects of the Subprime Crisis on the Latin American Financial Markets: An Empirical Assessment
Dufrénot, Gilles; Mignon, Valérie; Peguin-Feissolle, Anne - HAL - 2011
The aim of this article is to answer the following question: can the considerable rise in the volatility of the LAC … market volatility, especially in Mexico. …
Persistent link: https://www.econbiz.de/10009004294
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Long Memory Process in Asset Returns with Multivariate GARCH innovations
Mootamri, Imene - HAL - 2011
The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the volatility of a … …first conditional moment of US stock returns through multivariate ARFIMA process and the time-varying feature of volatility …
Persistent link: https://www.econbiz.de/10009644795
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Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model (version révisée)
Charlot, Philippe; Marimoutou, Vêlayoudom - HAL - 2011
This paper presents a new multivariate GARCH model with time-varying conditional correlation structure, which is a special case of the Regime Switching Dynamic Correlation (RSDC) of Pelletier (2006). This model which we have named Hierarchical RSDC (HRSDC), has been built with the hierarchical...
Persistent link: https://www.econbiz.de/10009151637
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Electricity, carbon and weather in France: where do we stand ?
Chemarin, Sophie; Heinen, Andreas; Strobl, Eric - HAL - 2008
that while there are own mean and own volatility spillovers in the two markets, there are no cross own mean and own … volatility spillovers, indicating that the electricity spot market and the carbon spot market are not integrated. Finally …
Persistent link: https://www.econbiz.de/10008793759
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Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model.
Charlot, Philippe; Marimoutou, Vêlayoudom - HAL - 2008
This paper presents a new multivariate GARCH model with time-varying conditional correlation structure which is a generalization of the Regime Switching Dynamic Correlation (RSDC) of Pelletier (2006). This model, which we name Hierarchical RSDC, is building with the hierarchical generalization...
Persistent link: https://www.econbiz.de/10008794823
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On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree
Charlot, Philippe; Marimoutou, Vêlayoudom - HAL - 2014
This study examines the volatility and correlation and their relationships among the euro/US dollar exchange rates, the … based on a binary decision tree and, it allows a probabilistic vision of the relationship between univariate volatility and … volatility and correlation are dependent upon the nature of the series considered, sometimes corresponding to those found in …
Persistent link: https://www.econbiz.de/10010899642
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Is Formal Employment Discouraged by the Provision of Free. Health Services to the Uninsured ? Evidence From a Natural Experiment in Mexico
Valle, Alejandro Del - HAL - 2013
This article analyzes whether the large scale provision of non-contributory health services encourages workers to move away from jobs that pay contributions to social security (formal employment). Using a difference-in-differences design, that exploits the variation generated by the municipal...
Persistent link: https://www.econbiz.de/10010738932
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Environmental climate instruments in Romania: A comparative approach using dynamic CGE modelling
Loisel, Rodica - HAL - 2009
This study simulates a CO2 permit market in Romania using a dynamic general equilibrium model. The carbon constraint is set at 20.7% below the reference emissions level for sectors eligible according to the EU-ETS (European Union Emission Trading Scheme). Free permit distribution enhances growth...
Persistent link: https://www.econbiz.de/10008793396
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Indebtedness and macroeconomic imbalances in a monetary-union DSGE model
Badarau, Florina-Cristina; Huart, Florence; Sangaré, … - HAL - 2013
We build a two-country open-economy monetary union DSGE model in order to explain some macroeconomic imbalances in the euro area. We fo cus on the role of cyclic al behaviour of public spending and sovereign risk premium. Pro-cyclical primary public expenditures in one country do not lead to...
Persistent link: https://www.econbiz.de/10010899832
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The Subprime Crisis
Chihi-Bouaziz, Meriam; Boujelbène, Younes; Bazin, Damien - HAL - 2014
turmoil in the industrial cycle is confirmed in the United States and Europe. We emphasize that the uncertainty about the …
Persistent link: https://www.econbiz.de/10010935036