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Interest Term Premiums and C-CAPM: A Test of a Parsimonious Model

Bruslerie, Hubert De La; Fouilloux, Jessica - HAL - 2010

This paper proposes a consumption-based model that accounts for term premiums of the nominal term structure of interest rates. The driving force behind the model is the looking at the ex ante term premium. Nominal term premiums depend on the volatility processes of real consumption and...

Persistent link: https://www.econbiz.de/10008793973

Why and how to measure stock market fluctuations? The early history of stock market indices, with special reference to the French case

Hautcoeur, Pierre-Cyrille - HAL - 2006

most of the initial interest came from economists that looked at the stock market only as a measure or an index of the … an emphasis on France and the United States. It links this evolution with contemporary economic theories, index number … theory, financial practices, and the other motivations of their authors. It examines the consequences of the methodological …

Persistent link: https://www.econbiz.de/10010738778

A comparative study on forecasting polyester chips prices for 15 days, using different hybrid intelligent systems

Fazli, Mojtaba Sedigh; Lebraty, Jean-Fabrice - HAL - 2013

Forecasting in a risky situation is a very important function for managers to assist in decision making. One of the fluctuated markets in stock exchange market is chemical market. In this research the target item for prediction is PET (Poly Ethylene Terephthalate) which is the raw material for...

Persistent link: https://www.econbiz.de/10010899158

A solution for forecasting pet chips prices for both short-term and long-term price forcasting, using genetic programming

Fazli, Mojtaba Sedigh; Lebraty, Jean-Fabrice - HAL - 2013

Nowadays, forecasting what will happen in economic environments plays a crucial role. We showed that in PET market how a neuro-fuzzy hybrid model can assist the managers in decision-making. In this research, the target is to forecast the same item through another intelligent tool which obeys the...

Persistent link: https://www.econbiz.de/10010692168

Evolutionary beliefs and financial markets

Jouini, Elyès; Napp, Clotilde; Viossat, Yannick - HAL - 2013

Why do investors keep different opinions even though they learn from their own failures and successes? Why do investors keep different opinions even though they observe each other and learn from their relative failures and successes? We analyze beliefs dynamics when beliefs result from a very...

Persistent link: https://www.econbiz.de/10010734229

Evolutionary Beliefs and Financial Markets

Jouini, Elyès; Napp, Clotilde; Viossat, Yannick - HAL - 2012

Persistent link: https://www.econbiz.de/10010735042

Indebtedness and macroeconomic imbalances in a monetary-union DSGE model

Badarau, Florina-Cristina; Huart, Florence; Sangaré, … - HAL - 2013

We build a two-country open-economy monetary union DSGE model in order to explain some macroeconomic imbalances in the euro area. We fo cus on the role of cyclic al behaviour of public spending and sovereign risk premium. Pro-cyclical primary public expenditures in one country do not lead to...

Persistent link: https://www.econbiz.de/10010899832