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Credit constraints and the cyclicality of R&D investment: Evidence from France
Aghion, Philippe; Askenazy, Philippe; Berman, Nicolas; … - HAL - 2008
&D investment and productivity growth are more negatively correlated with sales volatility in more credit constrained firms. …
Persistent link: https://www.econbiz.de/10010930234
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Financial Markets Equilibrium with Heterogeneous Agents
Cvitanic, Jaksa; Jouini, Elyès; Malamud, Semyon; Napp, … - HAL - 2012
market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility as well as …
Persistent link: https://www.econbiz.de/10009360288
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Fire Sales Forensics: Measuring Endogenous Risk
Cont, Rama; Wagalath, Lakshithe - HAL - 2012
We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large …
Persistent link: https://www.econbiz.de/10010548433
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Preliminary remarks on option pricing and dynamic hedging
Fliess, Michel; Join, Cédric - HAL - 2012
An elementary arbitrage principle and the existence of trends in financial time series, which is based on a theorem published in 1995 by P. Cartier and Y. Perrin, lead to a new understanding of option pricing and dynamic hedging. Intricate problems related to violent behaviors of the underlying,...
Persistent link: https://www.econbiz.de/10010551681
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The rationality of expectations formation and excess volatility
Davila, Julio - HAL - 2008
with limited memory, then there are rationally formed expectations equilibria exhibiting an excess volatility that no … one from a positive viewpoint, this result suggests that the possibility of excess volatility as an equilibrium phenomenon …
Persistent link: https://www.econbiz.de/10010750627
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A multi-horizon scale for volatility
Subbotin, Alexander - HAL - 2008
We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic …
Persistent link: https://www.econbiz.de/10010750636
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Systematic and multifactor risk models revisited
Fliess, Michel; Join, Cédric - HAL - 2013
Systematic and multifactor risk models are revisited via methods which were already successfully developed in signal processing and in automatic control. The results, which bypass the usual criticisms on those risk modeling, are illustrated by several successful computer experiments.
Persistent link: https://www.econbiz.de/10010898688
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To what extent do exchange rates and their volatility affect trade ?
Huchet-Bourdon, Maryline; Korinek, J. - HAL - 2011
unequivocally clear picture of the trade impacts of changes in exchange rates. The impact of exchange rate volatility on trade also … their volatility on trade flows in China, the Euro area and the United States in two broadly defined sectors, agriculture on … the one hand and manufacturing and mining on the other. It finds that exchange volatility impacts trade flows only …
Persistent link: https://www.econbiz.de/10010899210
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LIMITS TO GROWTH AND STOCHASTICS
Bouleau, Nicolas - HAL - 2012
The aim of this article is to use probabilistic ideas to study predictive reasoning based on hypotheses and models, but without using Ito calculus, without writing any stochastic differential equations, in fact without writing any formulas at all. The aim is to extract from the study of...
Persistent link: https://www.econbiz.de/10010899270
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Disentangling crashes from tail events
Aboura, Sofiane - HAL - 2010
taking a risk management perspective that is based on an augmented extreme value theory methodology with an application to … the French stock market (1968-2008). In contrast with the common sense, it claims that crashes happen when the volatility …
Persistent link: https://www.econbiz.de/10010899911