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Capelle-Blancard, Gunther - HAL - 2010

arises, the debate is on. Derivatives especially, which are among the major innovations in the past thirty years, cause deep … concerns. In this paper, we propose a survey of the academic literature that has addressed the threats posed by derivatives. An … initial issue is the impact of derivatives on the volatility of the underlying assets, but empirical findings do not suggest …

Persistent link: https://www.econbiz.de/10010605339

The Collateral Risk of ETFs

Hurlin, Christophe; Iseli, Gregoire; Pérignon, Christophe - HAL - 2014

As most Exchange-Traded Funds (ETFs) engage in securities lending or are based on total return swaps, they expose their investors to counterparty risk. To mitigate the funds' exposure, their counterparties must pledge collateral. In this paper, we present a framework to study collateral risk and...

Persistent link: https://www.econbiz.de/10010899467

Large sample properties of the matrix exponential spatial specification with an application to FDI

Debarsy, Nicolas; Jin, Fei; Lee, Lung-Fei - HAL - 2013

This paper studies large sample properties of the matrix exponential spatial specification (MESS). We find that the quasi-maximum likelihood estimator (QMLE) for the MESS is consistent under heteroskedasticity, a property not shared by the QMLE of the SAR model. For the general model that has...

Persistent link: https://www.econbiz.de/10010935045

Large sample properties of the matrix exponential spatial specification with an application to FDI

Debarsy, Nicolas; Jin, Fei; Lee, Lung-Fei - HAL - 2014

Persistent link: https://www.econbiz.de/10010930191

Testing interval forecasts: a GMM-based approach

Dumitrescu, Elena-Ivona; Hurlin, Christophe; Madkour, Jaouad - HAL - 2011

, our GMM test has good small-sample properties. These results are corroborated by an empirical application on SP500 and … Nikkei stock market indexes. It con rms that using this GMM test leads to major consequences for the ex-post evaluation of …

Persistent link: https://www.econbiz.de/10009322690

The 2007-2008 financial crisis: Is there evidence of disaster myopia?

Cornand, Camille; Gimet, Céline - HAL - 2012

The disaster myopia hypothesis is a theoretical argument that may explain why crises are a recurrent event. Under very optimistic circumstances, investors disregard any relevant information concerning the increasing degree of risk. Agents' propensity to underestimate the probability of adverse...

Persistent link: https://www.econbiz.de/10009278316

Addiction to car use and dynamic elasticity measures in France

Collet, Roger; Lapparent, Mathieu De; Hivert, Laurent - HAL - 2010

This article presents a microeconometric analysis of the annual mileage travelled by French households with their personal cars, defining their automobility. To feature car use dependence, the rational addiction model of Becker et al. (1994) is applied on a panel dataset, drawn from the French...

Persistent link: https://www.econbiz.de/10009278319

Does debt affect profitability? An empirical study of French trade sector

Kebewar, Mazen - HAL - 2013

2006. By using the generalized method of moments (GMM), we show that the debt affects negatively the profitability, not …

Persistent link: https://www.econbiz.de/10010755513

Fostering the potential endogenous development of European regions: a spatial dynamic panel data analysis of the Cohesion Policy on regional convergence over the period 1980-2005

Agha, S. Bouayad; Turpin, Nadine; Védrine, Lionel - HAL - 2010

In this paper, we use a conditional-convergence econometric model to investigate whether the Cohesion Policy and the structural funds this policy mobilises, aﬀect the European economies in such a way that the poorer regions catch up with the rich ones. In this model, regional convergence...

Persistent link: https://www.econbiz.de/10010636829

The effect of debt on corporate profitability Evidence from French service sector

Kebewar, Mazen; Noaman, Ahmed Shah Syed Muhammad - HAL - 2013

(GMM) econometric technique on three measures of profitability ratio (PROF1, PROF2 and ROA), we show that debt ratio has no …

Persistent link: https://www.econbiz.de/10010899356