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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

The dynamics of ex-ante risk premia in the foreign exchange market: evidence from the yen/usd exchange rate using survey data

Prat, Georges; Uctum, Remzi - HAL - 2007

Using financial experts' Yen/USD exchange rate expectations provided by Consensus Forecasts surveys, this paper aims to model the 3 and 12-month ahead ex-ante risk premia, measured as the difference between the expected and forward exchange rates. The condition of predictability of returns...

Persistent link: https://www.econbiz.de/10008792964

Comparative risk aversion of different preferences

Ruble, Richard - HAL - 2011

An article about Kihlstrom and Mirman about comparative risk aversion with many goods is critiqued. If "more risk averse" is interpreted as signifying that an individual is less willing to accept a median-preserving spread, then risk aversion cannot be compared across individuals with different...

Persistent link: https://www.econbiz.de/10008924873

Consensus consumer and intertemporal asset pricing with heterogeneous beliefs

Napp, Clotilde; Jouini, Elyès - HAL - 2007

The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete market economy. The construction of a consensus probability belief, as well as a consensus consumer, are shown to be valid modulo an aggregation bias, which takes the form of a...

Persistent link: https://www.econbiz.de/10008790507

Oil prices and government bond risk premiums

Alexandre, Herve; De, Benoist Antonin - HAL - 2010

with data from the EMBIG index of seventeen countries, from 1998 to 2008. An analysis in time series has been carried out …

Persistent link: https://www.econbiz.de/10010618135

Evolutionary strategic beliefs and financial markets

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

We provide a discipline for belief formation through a model of subjective beliefs, in which agents hold strategic beliefs. More precisely, we consider beliefs as a strategic variable that agents can choose (consciously or not) in order to maximize their utility at the equilibrium. These...

Persistent link: https://www.econbiz.de/10009418531

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