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A Class of Models satisfying a Dynamical Version of the CAPM.

Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine - 2003

Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.

Persistent link: https://www.econbiz.de/10008532425

Simulated nonparametric estimation of dynamic models with applications to finance

Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2005

This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes appropriate distances between nonparametric joint (or conditional) densities estimated from sample data and nonparametric joint (or conditional)...

Persistent link: https://www.econbiz.de/10010745257

Simulated nonparametric estimation of continuous time models of asset prices and returns

Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2004

This paper introduces a new parameter estimator of dynamic models in which the state is a multidimensional, continuous-time, partially observed Markov process. The estimator minimizes appropriate distances between nonparametric joint (and/or conditional) densities of sample data and...

Persistent link: https://www.econbiz.de/10010745606

Does beta move with news?: Systematic risk and firm-specific information flows

Patton, Andrew J.; Verardo, Michela - London School of Economics (LSE) - 2009

This paper shows that the systematic risk (or "beta") of individual stocks increases by an economically and statistically signi…cant amount on days of firm-specific news announcements, and reverts to its average level two to five days later. We employ intra-daily data and recent advances in...

Persistent link: https://www.econbiz.de/10011071113

Modélisation du risque dans les méthodologies d'audit : apport de la psychométrie.

Mansour, Sadok - Université Paris-Dauphine

Le thème de la décision en situation d’incertitude a été abordé par les recherches en audit en utilisant des approches … en psychologie de la décision menées par Kahneman et Tversky. …Audit decision in risk situations was studied by researchers using normative and descriptive approaches issued from …

Persistent link: https://www.econbiz.de/10008529695

Les informations comptables répondent-elles aux besoins informationnels des banquiers lors de l'octroi d'un crédit à une entreprise ?.

Rougès, Véronique - Université Paris-Dauphine

Les informations comptables sont supposées être utiles aux parties prenantes en situation de décision. Cette … communication s'interroge sur l'utilité des données comptables pour les banques lors de la décision de faire crédit à une entreprise …

Persistent link: https://www.econbiz.de/10008532316