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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

Liquidity and Arbitrage in Options Markets: A SurvivalAnalysis Approach

Deville, Laurent; Riva, Fabrice - HAL - 2007

This paper examines the determinants of the time it takes for an index options market to return to no arbitrage values after put-call parity deviations, using intraday transactions data from the French index options market. We employ survival analysis to characterize how limits to arbitrage...

Persistent link: https://www.econbiz.de/10008791500

Exchange Traded Funds: History, Trading and Research

Deville, Laurent - HAL - 2008

We survey the litterature devoted to Exchange Traded Funds

Persistent link: https://www.econbiz.de/10008792943

Modeling the impact of real and financial shocks on Mercosur: the role of the exchange rate regime

Allegret, Jean-Pierre; Sand-Zantman, Alain - HAL - 2007

This paper studies to what extent the diversity of exchange rate regimes within Mercosur exerts an influence on the feasibility of a monetary union in this area. A semi-structural VAR model is built for each country, including a set of international and domestic variables. Based on impulse...

Persistent link: https://www.econbiz.de/10008791736

Disentangling business cycles and macroeconomic policy in Mercosur: a VAR and unobserved components model approaches

Allegret, Jean-Pierre; Sand-Zantman, Alain - HAL - 2007

This paper analyses the feasibility of a monetary union within the Mercosur, focusing on cycle synchronicity. Three questions are addressed, concerning respectively the features of shocks hitting each member, the impact of exchange rate regime differences on countries' responses and the share of...

Persistent link: https://www.econbiz.de/10008793162

Cross-Market Spillovers with 'Volatility Surprise'

Aboura, Sofiane; Chevallier, Julien - HAL - 2014

updating the concept of 'volatility surprise' to capture cross-market relationships. Current methods for measuring spillovers … do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to … commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the 'volatility surprise …

Persistent link: https://www.econbiz.de/10010821166

A challenge to triumphant optimists? A blue chips index for the Paris Stock-Exchange (1854-2007)

Bris, David Le; Hautcoeur, Pierre-Cyrille - HAL - 2009

We analyze a new blue chips (large caps) stock index for France from 1854 to 1998. We detail its methodology and show that it differs profoundly from earlier indices, and that it is more consistent with the French financial and economic history. We suggest this result casts some doubt on many...

Persistent link: https://www.econbiz.de/10010738877

A challenge to triumphant optimists? A blue chips index for the Paris Stock-Exchange (1854-2007)

Bris, David Le; Hautcoeur, Pierre-Cyrille - HAL - 2010

Persistent link: https://www.econbiz.de/10008792271

Contagion in financial networks: a threat index

Demange, Gabrielle - HAL - 2012

An intricate web of claims and obligations ties together the balance sheets of a wide variety of financial institutions. Under the occurrence of default, these interbank claims generate externalities across institutions and possibly disseminate defaults and bankruptcy. Building on a simple model...

Persistent link: https://www.econbiz.de/10010739081

Systemic risk in energy derivative markets: a graph theory analysis

Lautier, Delphine; Raynaud, Franck - HAL - 2012

This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk to appear in. Relying on daily futures returns covering a 12-year period, we examine cross- and inter-market linkages, both within the commodity complex and between...

Persistent link: https://www.econbiz.de/10010820627