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A multi-horizon scale for volatility
Subbotin, Alexander - HAL - 2008
We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic …
Persistent link: https://www.econbiz.de/10010750636
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Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio; Pirino, Davide; Renò, Roberto - HAL - 2010
This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly … significant impact on future volatility. This result becomes apparent once volatility is separated into its continuous and … yields) shows that the proposed techniques improve significantly the accuracy of volatility forecasts especially in periods …
Persistent link: https://www.econbiz.de/10010899244
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Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio; Pirino, Davide; Renò, Roberto - HAL - 2010
This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly … significant impact on future volatility. This result becomes apparent once volatility is separated into its continuous and … yields) shows that the proposed techniques improve significantly the accuracy of volatility forecasts especially in periods …
Persistent link: https://www.econbiz.de/10010821082
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How does investor sentiment affect stock market crises? Evidence from panel data
Zouaoui, M.; Nouyrigat, G.; Beer, F. - HAL - 2010
We test the impact of investor sentiment on a panel of international stock markets. Specifically, we examine the influence of investor sentiment on the probability of stock market crises. We find that investor sentiment increases the probability of occurrence of stock market crises within a...
Persistent link: https://www.econbiz.de/10008790351
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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
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A challenge to triumphant optimists? A blue chips index for the Paris Stock-Exchange (1854-2007)
Bris, David Le; Hautcoeur, Pierre-Cyrille - HAL - 2010
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/10008792271
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Stochastic dominance with respect to a capacity and risk measures
Grigorova, Miryana - HAL - 2011
Pursuing our previous work in which the classical notion of increasing convex stochastic dominance relation with respect to a probability has been extended to the case of a normalised monotone (but not necessarily additive) set function also called a capacity, the present paper gives a...
Persistent link: https://www.econbiz.de/10009368022
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The Transmission of the Subprime Crisis
Chihi-Bouaziz, Meriam; Boujelbène, Younes; Bazin, Damien - HAL - 2012
This paper aims to study the contagion effects of the subprime financial crisis on the real economy of the USA. The contagion of this crisis is measured by increased linkages between markets after a shock has taken place (the stock market shocks, the interbank spread). The VAR model is utilized...
Persistent link: https://www.econbiz.de/10010933785
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Comparing the value relevance of earnings and book value in IFRS and GAAP standards
Escaffre, Lionel; Sefsaf, Réda - HAL - 2011
The aim of this paper is to present a comparative analysis of the value relevance of the book value and earnings on a sample of companies belonging to the financial sector, made up largely of banks. The sample is taken from several European markets in IFRS, namely the Benelux countries, France,...
Persistent link: https://www.econbiz.de/10010898605
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Why and how to measure stock market fluctuations? The early history of stock market indices, with special reference to the French case
Hautcoeur, Pierre-Cyrille - HAL - 2006
Stock market indices are today a vital and daily tool for both economists and actors in the financial world. The multiplication and the very importance given to these indices raise the question of their accuracy and of the reliability of the methods that are used to construct them. We begin an...
Persistent link: https://www.econbiz.de/10010738778