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On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates

Truchis, Gilles De; Keddad, Benjamin - HAL - 2014

both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility … for the European and British exchange rates. Concerning the copula analysis, we conclude in favor of weak dependence when …

Persistent link: https://www.econbiz.de/10010933834

Global and local stationary modelling in finance : theory and empirical evidence

Guegan, Dominique - HAL - 2007

stationarities on the estimation of the sample autocorrelation function and give several examples of models for which spurious …

Persistent link: https://www.econbiz.de/10010750670

A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach

Essaadi, Essahbi; Boutahar, Mohamed - HAL - 2008

In this paper, we test the instability of comovement, in time and frequency domain, for the GDP growth rate of the US … graphical analysis of the Time-Varying Coherence Function (TVCF) reports the existence of variability in correlation between the …

Persistent link: https://www.econbiz.de/10008790546

A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach

Essaadi, Essahbi; Boutahar, Mohamed - HAL - 2008

Persistent link: https://www.econbiz.de/10008791632

Disentangling business cycles and macroeconomic policy in Mercosur: a VAR and unobserved components model approaches

Allegret, Jean-Pierre; Sand-Zantman, Alain - HAL - 2006

, this study focuses on the macroeconomic cycles in Argentina, Brazil, and Uruguay. First, we analyse cross-correlation to …

Persistent link: https://www.econbiz.de/10008791827

Non-stationarity and meta-distribution

Guegan, Dominique - HAL - 2008

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...

Persistent link: https://www.econbiz.de/10010750362

Pricing bivariate option under GARCH processes with time-varying copula

Zhang, Jing; Guegan, Dominique - HAL - 2008

Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen stock composite indexes. Results show that the option prices obtained by the time-varying copula model …

Persistent link: https://www.econbiz.de/10010750766

Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market

Guegan, Dominique; Zhang, Jing - HAL - 2007

is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …

Persistent link: https://www.econbiz.de/10010750828

Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market

Guegan, Dominique; Zhang, Jing - HAL - 2009

Persistent link: https://www.econbiz.de/10010738494

Pricing bivariate option under GARCH processes with time-varying copula

Zhang, Jing; Guegan, Dominique - HAL - 2008

Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen Stock Composite Indexes. Results show that the option prices obtained by the time-varying copula model …

Persistent link: https://www.econbiz.de/10010738655