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Biased
 Information 
and
 Effort
Rosaz, Julie - HAL - 2012
information at the principal's advantage, we test experimentally the principal's willingness to bias (overestimate or under …) principals do bias information, ii) agents trust the cheap-talk messages they receive and adjust their effort accordingly …
Persistent link: https://www.econbiz.de/10008790485
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Earnings forecast bias - a statistical analysis
Michalon, Karine; Lardic, Sandrine; Dossou, François - HAL - 2005
well-known phenomenon, namely the existence of a positive bias in experts' anticipations: the latter tend to over …-estimate earnings. In this paper, we study the properties of this bias according to various aspects, that is to say according to country …
Persistent link: https://www.econbiz.de/10008788892
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Can earnings forecasts be improved by taking into account the forecast bias?
Dossou, François; Lardic, Sandrine; Michalon, Karine - HAL - 2008
The recent period has highlighted a well-known phenomenon, namely the existence of a positive bias in experts … contributions are twofold: we provide explanatory bias prediction models which will subsequently allow the calculation of earnings … adjusted forecasts, for horizons from 1 to 24 months. We explain the bias using macroeconomic as well as sector and firm …
Persistent link: https://www.econbiz.de/10008792953
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Chaos in economics and finance
Guegan, Dominique - HAL - 2007
In this article, we specify the different approaches followed by the economists and the financial economists in order to use chaos theory. We explain the main difference using this theory with other research domains like the mathematics and the physics. Finally, we present tools necessary for...
Persistent link: https://www.econbiz.de/10010738474
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Chaos in Economics and Finance
Guegan, Dominique - HAL - 2009
This paper focuses on the use of dynamical chaotic systems in Economics and Finance. In these fields, researchers employ different methods from those taken by mathematicians and physicists. We discuss this point. Then, we present statistical tools and problems which are innovative and can be...
Persistent link: https://www.econbiz.de/10010738625
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A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates
Guegan, Dominique - HAL - 2003
We investigate some statistical properties of the new k-factor Gegenbauer process with heteroscedastic noises One of the goals of the paper is to give tools which permit to use this model to explain the behaviour of certain data sets in finance and in macroeconomics. Monte Carlo experiments are...
Persistent link: https://www.econbiz.de/10008788958
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Dependence modelling of the joint extremes in a portfolio using Archimedean copulas : application to MSCI indices
Guegan, Dominique; Ladoucette, Sophie A. - HAL - 2005
Using Archimedean copulas, we investigate the dependence structure existing between several series of financial assets log-returns that come from different markets. These series are considered as components of a portfolio and they are investigated on a long period including high shocks. To...
Persistent link: https://www.econbiz.de/10008791451
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A k- factor GIGARCH process : estimation and application to electricity market spot prices,
Guegan, Dominique; Diongue, Abdou Kâ; Vignal, Bertrand - HAL - 2004
Some crucial time series of market data, such as electricity spot prices, exhibit long memory, in the sense of slowly-decaying correlations combined with heteroscedasticity. To e able to model such a behaviour, we consider the k-factor GIGARCH process and we propose two methods to address the...
Persistent link: https://www.econbiz.de/10008792746
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Estimating parameters for a k-GIGARCH process
Diongue, Abdou Kâ; Guegan, Dominique - HAL - 2004
Some crucial time series of market data, such as electricity spot prices, exhibit long memory, in the sense of slowly-decaying correlations combined with heteroscedasticity. To e able to model such a behaviour, we consider the k-factor GIGARCH process and we propose two methods to address the...
Persistent link: https://www.econbiz.de/10008793109
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Effect of Uncertainty about Others' Rationality in Experimental Asset Markets: An Experimental Analysis
Akiyama, Eizo; Hanaki, Nobuyuki; Ishikawa, Ryuichiro - HAL - 2012
We investigate the extent to which price deviations from fundamental values in an experimental asset market are due to the uncertainty of subjects regarding others' rationality. We do so by comparing the price forecasts submitted by subjects in two market environments: (a) all six traders are...
Persistent link: https://www.econbiz.de/10010933826