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Chevallier, Julien; Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2014

This paper proposes a new empirical methodology for computing a cross-market index – coined CMI – based on the Factor DCC-model. This approach solves both problems of treating high-dimensional data and estimating time-varying conditional correlations. We provide an application to a...

Persistent link: https://www.econbiz.de/10010765451

The cross-market index for volatility surprise

Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2014

This article proposes a new empirical methodology for computing a cross-market volatility index - coined CMIX - based on the Factor-Dynamic Conditional Correlation (DCC) model, implemented on volatility surprises. This approach solves problems in treating high-dimensional data and estimating...

Persistent link: https://www.econbiz.de/10010781511

Financing Future Growth : the Need for Financial Innovations

Bodie, Zvi; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2011

Attracting long-term investors from the private sector or in public-private partnerships for stable long-term investment in the innovative sectors and industries needed to generate sustained growth is crucial. Long-term investors want assets that generate regular cash flows, often linked to...

Persistent link: https://www.econbiz.de/10010706454

Les fonds souverains ou sovereign wealth funds

Rocchi, Jean-Michel - Université Paris-Dauphine (Paris IX) - 2010

Persistent link: https://www.econbiz.de/10010707476

Ombres et lumières des ETF

Hamon, Jacques - Université Paris-Dauphine (Paris IX) - 2013

Exchange Traded Funds (ETF) are designed to track a benchmark. ETF facilitate asset management and contribute to reduce management fees and transaction costs, they are traded like stocks at current price on continuous markets and meet an increasing success. Initially, anETFwas a stock...

Persistent link: https://www.econbiz.de/10010707604

Les défis de l'asset management contemporain : hedge fund, crise, fraudes, valorisations...

Rocchi, Jean-Michel - Université Paris-Dauphine (Paris IX) - 2010

Persistent link: https://www.econbiz.de/10010708898

La gestion collective en France : l’utopie d’une finance pour tous

Tadjeddine, Yamina; Cotta, Jean-Christophe - Université Paris-Dauphine (Paris IX) - 2011

Mutual funds industry has been sought by French politicians as mediation between the popular savings and company’s investments through the financial markets. Questioning the link between finance and industry requires analyzing the effectiveness of this mediation. This article intends firstly...

Persistent link: https://www.econbiz.de/10011199615

Cross-Market Spillovers with 'Volatility Surprise'

Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2014

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...

Persistent link: https://www.econbiz.de/10011205314

Cross-market volatility index with Factor-DCC

Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2014

This paper proposes a new empirical methodology for computing a cross-market volatility index – coined CMIX – based on the Factor DCC-model, implemented on volatility surprises. This approach solves both problems of treating high-dimensional data and estimating time-varying conditional...

Persistent link: https://www.econbiz.de/10010891145

The Effects of Temporary Services and Contracting Out on Low-Skilled Workers: Evidence from Auto Suppliers, Hospitals, and Public Schools

Erickcek, George; Houseman, Susan; Kalleberg, Arne - W.E. Upjohn Institute for Employment Research - 2002

We examine why employers use temporary agency and contract company workers and the implications of these practices for … outsourcing. Adverse effects on compensation are clearest when companies substitute agency temporaries or contract company workers …, organizations only contract out management functions or utilize agency temporaries for brief periods of time, with little direct …

Persistent link: https://www.econbiz.de/10005101987