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Energy use and Economic Growth in Africa: A Panel Granger-Causality Investigation

Arouri, Mohamed El Hedi; Youssef, Adel Ben; M'Henni, Hatem - HAL - 2014

We make use of a bootstrap panel analysis of causality between energy use and economic growth for a sample of sixteen African countries over the period 1988-2010. Our results show that growth and energy use are strongly linked in Africa. However, African countries are heterogeneous and there is...

Persistent link: https://www.econbiz.de/10010933129

Une Evaluation Economique du risque de modèle pour les investisseurs de long-terme

Boucher, Christophe; Hamidi, Benjamin; Kouontchou, Patrick - HAL - 2012

risque pour évaluer les risques extrêmes. Ces mesures de risques, telles que la VaR, sont devenues incontournables dans la …, sur des données longues américaines, une relation en U-inversé entre notre mesure du risque de modèle sur les VaR …

Persistent link: https://www.econbiz.de/10010930239

The Riskiness of Risk Models

Boucher, Christophe; Maillet, Bertrand - HAL - 2011

(specification and estimation risks) on VaR estimates. We find that integrating the model risk into the VaR computations implies a … substantial minimum correction of the order of 10-40% of VaR levels. We also present results of a practical method - based on a … backtesting framework - for incorporating the model risk into the VaR estimates. …

Persistent link: https://www.econbiz.de/10010605338

Change analysis of dynamic copula for measuring dependence in multivariate financial data

Guegan, Dominique; Zhang, Jing - HAL - 2006

This paper proposes a new approach to measure the dependence in multivariate financial data. Data in finance and insurance often cover a long time period. Therefore, the economic factors may induce some changes inside the dependence structure. Recently, two methods using copulas have been...

Persistent link: https://www.econbiz.de/10010750547

Change analysis of a dynamic copula for measuring dependence in multivariate financial data

Guegan, Dominique; Zhang, Jing - HAL - 2010

Persistent link: https://www.econbiz.de/10010738562

A Risk Management Approach for Portfolio Insurance Strategies

Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - HAL - 2009

Dynamic AutoRegressive Quantile model of the Value-at-Risk (DARQ-VaR). Using a French daily stock database (CAC 40) and …

Persistent link: https://www.econbiz.de/10010738637

Econometric and Neural Network Analysis of the Labor Productivity and Average Gross Earnings Indices in the Romanian Industry

Andreica, Madalina Ecaterina; Cataniciu, Nicolae; … - HAL - 2009

This paper focuses on the identification and short term forecast of the correlation between the Labor Productivity Index (LPI) and the Average Gross Earnings Index (AGEI) in the Romanian Industry. The tools and models that were used consist of several lag econometric models, ARIMA processes, as...

Persistent link: https://www.econbiz.de/10010601713

New Prospects on Vines

Guegan, Dominique; Maugis, Pierre-André - HAL - 2010

great flexibility to practitioners to compute VaR associated to a portfolio in high dimension. …

Persistent link: https://www.econbiz.de/10010603639

Alternative methods for forecasting GDP

Guegan, Dominique; Rakotomarolahy, Patrick - HAL - 2010

, with parametric VAR modelling is conducted on the euro area GDP. Using both methods for nowcasting and forecasting the GDP …

Persistent link: https://www.econbiz.de/10010603668

L'approche DARE pour une mesure de risque diversifiée

Hamidi, Benjamin; Kouontchou, Patrick; Maillet, Bertrand - HAL - 2010

Nous proposons dans cet article, à partir des approches de Taylor (2008) et de Gouriéroux et Jasiak (2008), d'agréger différents modèles de quantiles et d'expectiles afin d'obtenir une méthode plus robuste de calcul de la valeur-en-risque et de la perte conditionnelle maximale en...

Persistent link: https://www.econbiz.de/10010603670