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Non-stationarity and meta-distribution
Guegan, Dominique - HAL - 2008
economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc …
Persistent link: https://www.econbiz.de/10010750362
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Forecasting exchange rates better than the random walk thanks to machine learning techniques
Amat, Christophe; Michalski, Tomasz; Stoltz, Gilles - HAL - 2014
overfitting in-sample for better and more stable forecasting performance out-of-sample we show that fundamentals from the PPP … at a 1 month forecast. "Classic" fundamentals hence contain useful information about exchange rates even for short … forecasting horizons. …
Persistent link: https://www.econbiz.de/10010899931
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A mathematical proof of the existence of trends in financial time series
Fliess, Michel; Join, Cédric - HAL - 2009
theory. Several quite convincing computer simulations on the forecast of various financial quantities are depicted. We … conclude by discussing the rôle of probability theory. …
Persistent link: https://www.econbiz.de/10008792433
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To what extent do exchange rates and their volatility affect trade ?
Huchet-Bourdon, Maryline; Korinek, J. - HAL - 2011
unequivocally clear picture of the trade impacts of changes in exchange rates. The impact of exchange rate volatility on trade also … their volatility on trade flows in China, the Euro area and the United States in two broadly defined sectors, agriculture on … the one hand and manufacturing and mining on the other. It finds that exchange volatility impacts trade flows only …
Persistent link: https://www.econbiz.de/10010899210
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Regime switching models : real or spurious long memory ?
Guegan, Dominique; Rioublanc, Stéphanie - HAL - 2005
In this paper, we analyze the possible confusion in terms of long memory behavior of the autocorrelation function of a Markov switching model. Such a model is known to have a short memory behavior. Analyzing the value of sum of the transition probabilities and the number of switches inside such...
Persistent link: https://www.econbiz.de/10008792737
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Delta Hedging in Financial Engineering: Towards a Model-Free Approach
Fliess, Michel; Join, Cédric - HAL - 2010
existence of trends in financial time series, Proc. Int. Conf. Systems Theory: Modelling, Analysis and Control, Fes, 2009 … are presented. Some of them are dealing with abrupt changes, i.e., jumps. …
Persistent link: https://www.econbiz.de/10008792834
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A model-free approach to delta hedging
Fliess, Michel; Join, Cédric - HAL - 2010
See http://hal.inria.fr/inria-00479824/en/ for a slightly more elaborate version.
Persistent link: https://www.econbiz.de/10008833330
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Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina; Swanson, Norman R. - HAL - 2011
one-factor and stochastic volatility models. We then construct tests that are in the spirit of Diebold and Mariano (1995 …
Persistent link: https://www.econbiz.de/10010820706
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Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina; Swanson, Norman R. - HAL - 2011
one-factor and stochastic volatility models. We then construct tests that are in the spirit of Diebold and Mariano (1995 …
Persistent link: https://www.econbiz.de/10010820811
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Liquidity Problems in the FX Liquid Market
Borgy, Vladimir; Idier, Julien; Fol, Gaëlle Le - HAL - 2010
Even though the FX market is one of the most liquid financial market, it would be an error to consider that it is immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and transactions in three main currency pairs (EURJPY, EURUSD, USDJPY)...
Persistent link: https://www.econbiz.de/10008794876