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On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates

Truchis, Gilles De; Keddad, Benjamin - HAL - 2014

This article examines the volatility dependence between the crude oil price and four US dollar exchange rates using … both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility … to explore whether the volatility of the markets are linked in the short run. The cointegration results conclude in favor …

Persistent link: https://www.econbiz.de/10010933834

Economically rational expectations theory: evidence from the WTI oil price survey data

Prat, Georges; Uctum, Remzi - HAL - 2006

In the light of the economically rational expectation theory, this article shows how an expert chooses an optimal oil price forecast function given that information is costly. In this framework we propose an expectational process which nests all processes considered in the literature. By...

Persistent link: https://www.econbiz.de/10008789498

Entry mode choice and target firm selection: private and collective incentive analysis

Zhao, Kai - HAL - 2011

The purpose of this paper is to formalize the choices of market entry strategy (Export Vs Greenﬁeld investment Vs Cross … export credible threats. If greenﬁeld FDI is viable, entering ﬁrm prefers acquiring the low-productivity ﬁrm, when the …, there is always the ambiguity between the foreign ﬁrm's preference and the government's judgment. If export entry option is …

Persistent link: https://www.econbiz.de/10010899386

Intra-firm and arm's length trade: how distance matters?

Bombarda, Pamela - HAL - 2011

Multinational and exporting firms play a key role in trade patterns. To highlight the importance of intra-firm trade in share of world trade, this paper develops a model of trade and intra-firm trade with heterogeneous firms. In this set up, trade costs apply to both exports and multinational...

Persistent link: https://www.econbiz.de/10010899726

Invention and transfer of climate change-mitigation technologies: A global analysis

Dechezleprêtre, Antoine; Glachant, Matthieu; Hascic, Ivan - HAL - 2011

This article uses the European Patent Office Worldwide Patent Statistical Database to examine the geographic distribution and global diffusion of inventions in thirteen climate-mitigation technologies since 1978. The data suggest that until 1990 innovation was driven mostly by energy prices....

Persistent link: https://www.econbiz.de/10008792117

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

The rationality of expectations formation and excess volatility

Davila, Julio - HAL - 2008

with limited memory, then there are rationally formed expectations equilibria exhibiting an excess volatility that no … one from a positive viewpoint, this result suggests that the possibility of excess volatility as an equilibrium phenomenon …

Persistent link: https://www.econbiz.de/10010750627