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Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems

Aloy, Marcel; Truchis, Gilles De - HAL - 2013

Estimation methods of bivariate fractional cointegration models are numerous. In most cases they have non-equivalent asymptotic and finite sample properties, implying diffculties in determining an optimal estimation strategy. In this paper, we address this issue by means of simulations and...

Persistent link: https://www.econbiz.de/10010933833

Pilotage d'une chaîne logistique par une approche de type MRP dans un environnement partiellement aléatoire

Giard, Vincent; Sali, Mustapha - HAL - 2012

This article focuses on the monitoring of a supply chain dedicated to the mass production of strongly diversified products. In particular we are interested in the part of this chain that contributes to the production of a set of alternative modules assembled on a work station of one or several...

Persistent link: https://www.econbiz.de/10010899826

A range based Multi-Actor Multicriteria Analysis to incorporate uncertainty in stakeholder based evaluation processes

Baudry, Gino; Macharis, Cathy; Vallée, Thomas - HAL - 2014

Increasing concerns about environmental and social impacts have made multicriteria analysis (MCA) increasingly popular in decision making processes. The present paper proposes a new methodology which allows taking into account multicriteria aspects, stakeholder's preferences and long time...

Persistent link: https://www.econbiz.de/10010821438

Double Kernel estimation of sensitivities

Elie, Romuald - HAL - 2009

This paper adresses the general issue of estimating the sensitivity of the expectation of a random variable with respect to a parameter characterizing its evolution. In finance for example, the sensitivities of the price of a contingent claim are called the Greeks. A new way of estimating the...

Persistent link: https://www.econbiz.de/10008790983

Stochastic Risk vs. Policy Oriented Uncertainties: The Case of the Alpine Crossings

Brunel, Julien - HAL - 2004

This paper focuses on uncertainties in traffic forecasting. Three major sources of uncertainties are observed for freight demand models. The first one is the model specification itself. We are not interested by it. The second one concerns uncertainties over forecasting hypotheses. A mean to...

Persistent link: https://www.econbiz.de/10008792030

Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework

Benabid, Anas; Bensusan, Harry; Karoui, Nicole El - HAL - 2008

In this paper, a study of a stochastic volatility model for asset pricing is described. Originally presented by J. Da … Fonseca, M. Grasselli and C. Tebaldi, the Wishart volatility model identifies the volatility of the asset as the trace of a … model. Besides, the Wishart volatility model keeps a clear interpretation of its parameters and conserves an efficient …

Persistent link: https://www.econbiz.de/10008793719

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

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

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

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