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Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - HAL - 2011

We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement error of certain types and can also handle non-synchronous trading. It is the first estimator...

Persistent link: https://www.econbiz.de/10010820536

Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - HAL - 2011

Persistent link: https://www.econbiz.de/10010898866

Star wars: The empirics strike back

Brodeur, Abel; Lé, Mathias; Sangnier, Marc; … - HAL - 2012

Journals favor rejections of the null hypothesis. This selection upon results may distort the behavior of researchers. Using 50,000 tests published between 2005 and 2011 in the AER, JPE and QJE, we identify a residual in the distribution of tests that cannot be explained by selection. The...

Persistent link: https://www.econbiz.de/10010739027

Earnings forecast bias - a statistical analysis

Michalon, Karine; Lardic, Sandrine; Dossou, François - HAL - 2005

well-known phenomenon, namely the existence of a positive bias in experts' anticipations: the latter tend to over …-estimate earnings. In this paper, we study the properties of this bias according to various aspects, that is to say according to country …

Persistent link: https://www.econbiz.de/10008788892

Biased  Information  and  Effort

Rosaz, Julie - HAL - 2012

information at the principal's advantage, we test experimentally the principal's willingness to bias (overestimate or under …) principals do bias information, ii) agents trust the cheap-talk messages they receive and adjust their effort accordingly …

Persistent link: https://www.econbiz.de/10008790485

Can earnings forecasts be improved by taking into account the forecast bias?

Dossou, François; Lardic, Sandrine; Michalon, Karine - HAL - 2008

The recent period has highlighted a well-known phenomenon, namely the existence of a positive bias in experts … contributions are twofold: we provide explanatory bias prediction models which will subsequently allow the calculation of earnings … adjusted forecasts, for horizons from 1 to 24 months. We explain the bias using macroeconomic as well as sector and firm …

Persistent link: https://www.econbiz.de/10008792953

Chaos in economics and finance

Guegan, Dominique - HAL - 2007

In this article, we specify the different approaches followed by the economists and the financial economists in order to use chaos theory. We explain the main difference using this theory with other research domains like the mathematics and the physics. Finally, we present tools necessary for...

Persistent link: https://www.econbiz.de/10010738474

Chaos in Economics and Finance

Guegan, Dominique - HAL - 2009

This paper focuses on the use of dynamical chaotic systems in Economics and Finance. In these fields, researchers employ different methods from those taken by mathematicians and physicists. We discuss this point. Then, we present statistical tools and problems which are innovative and can be...

Persistent link: https://www.econbiz.de/10010738625

A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates

Guegan, Dominique - HAL - 2003

We investigate some statistical properties of the new k-factor Gegenbauer process with heteroscedastic noises One of the goals of the paper is to give tools which permit to use this model to explain the behaviour of certain data sets in finance and in macroeconomics. Monte Carlo experiments are...

Persistent link: https://www.econbiz.de/10008788958

Dependence modelling of the joint extremes in a portfolio using Archimedean copulas : application to MSCI indices

Guegan, Dominique; Ladoucette, Sophie A. - HAL - 2005

Using Archimedean copulas, we investigate the dependence structure existing between several series of financial assets log-returns that come from different markets. These series are considered as components of a portfolio and they are investigated on a long period including high shocks. To...

Persistent link: https://www.econbiz.de/10008791451