Narrow search
Showing 1 - 10 of 116
Cover Image
High Frequency Lead/lag Relationships - Empirical facts
Huth, Nicolas; Abergel, Frédéric - HAL - 2011
(short intertrade duration, narrow bid/ask spread, small volatility, high turnover) tend to lead smaller stocks. However, the …
Persistent link: https://www.econbiz.de/10010618170
Cover Image
Is a public regulation of food price volatility feasible in Africa? An arch approach in Kenya
D'Hôtel, Elodie Maître; Cotty, Tristan Le; Jayne, Thomas - HAL - 2012
be key factor influencing the degree of price volatility. Applied to trade policies, this consistency is defined by the … instruments to manage food price volatility. Many developing countries recently pursued price regulation policies, but the … policy to lower food price volatility does not depend on the nature of the policy instrument only, but also on the …
Persistent link: https://www.econbiz.de/10010821035
Cover Image
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - HAL - 2010
under microstructure noise and non-synchronous trading. A pre-averaged realised covariance is proposed, and we present an …
Persistent link: https://www.econbiz.de/10010898713
Cover Image
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - HAL - 2010
under microstructure noise and non-synchronous trading. A pre-averaged realised covariance is proposed, and we present an …
Persistent link: https://www.econbiz.de/10010570532
Cover Image
Global and local stationary modelling in finance : theory and empirical evidence
Guegan, Dominique - HAL - 2007
multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. We study the problem caused by these non … strategies are suggested to study locally these data sets. We propose first a test based on the k-the cumulants and mainly the …
Persistent link: https://www.econbiz.de/10010750670
Cover Image
Asymptotic refinements of bootstrap tests in a linear regression model ; A CHM bootstrap using the first four moments of the residuals
Treyens, Pierre-Eric - HAL - 2008
exceptions. The first occurs when the third and fourth cumulants are null, in this case parametric and non parametric bootstrap …
Persistent link: https://www.econbiz.de/10008793622
Cover Image
Monotone continuous multiple priors
Chateauneuf, Alain; Macheronni, Fabio; Marinacci, Massimo; … - HAL - 2005
We show that the monotone continuity condition introduced by Arrow (1970) is the behavioral counterpart of countable …
Persistent link: https://www.econbiz.de/10010750652
Cover Image
Revealed preference and indifferent selection
Danan, Eric - HAL - 2008
It is shown that preferences can be constructed from observed choice behavior in a way that is robust to indifferent selection (i.e., the agent is indifferent between two alternatives but, nevertheless, is only observed selecting one of them). More precisely, a suggestion by Savage [Savage,...
Persistent link: https://www.econbiz.de/10010898783
Cover Image
Coherent Multidimensional Poverty Measurement
Giraud, Gaël - HAL - 2012
This paper presents a family of multidimensional poverty indices that measure poverty as a function of the extent and the intensity of poverty. I provide a unique axiomatics from which both extent and intensity of poverty can be derived, as well as the poor be endogenously identified. This...
Persistent link: https://www.econbiz.de/10010635099
Cover Image
There is a VaR Beyond Usual Approximations
Kratz, Marie - HAL - 2013
Basel II and Solvency 2 both use the Value-at Risk (VaR) as the risk measure to compute the Capital Requirements. In practice, to calibrate the VaR, a normal approximation is often chosen for the unknown distribution of the yearly log returns of financial assets. This is usually justified by the...
Persistent link: https://www.econbiz.de/10010898566