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GARCH models without positivity constraints: Exponential or Log GARCH?

Zakoïan, Jean-Michel; Wintenberger, Olivier; Francq, … - Université Paris-Dauphine (Paris IX) - 2013

This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without positivity constraints. We compare the main probabilistic properties (strict stationarity, existence of moments, tails) of the EGARCH...

Persistent link: https://www.econbiz.de/10011072512

Central banks interventions and market expectations: the BoJ case

Morel, Christophe; Teiletche, Jérôme - Université Paris-Dauphine (Paris IX) - 2008

order to deal with the features of the data (small sample size, non-standard distribution), we use bootstrap tests. We show …

Persistent link: https://www.econbiz.de/10010905026

Studentization and deriving accurate p-values

Rousseau, Judith; Fraser, Donald - Université Paris-Dauphine (Paris IX) - 2008

Bayesian literature, with many variations and some preference for two versions labelled pppost and pcpred. The bootstrap method … develop: an ancillary based p-value designated panc; a special version of the Bayesian pcpred; and a bootstrap based p … bootstrap would require a magnitude more in computation and would perhaps not be accessible. Examples are given to indicate the …

Persistent link: https://www.econbiz.de/10010905315

Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004

Morel, Christophe; Teiletche, Jérôme - Université Paris-Dauphine (Paris IX) - 2008

order to deal with the features of the data (small sample size, non-standard distribution), we use bootstrap tests. We show …

Persistent link: https://www.econbiz.de/10010754232

Can diversification degree amplify momentum and contrarian anomalies ?

Benouda Sioud, Olfa; Ben Mhenni Haj Youssef, Houda; El … - Université Paris-Dauphine (Paris IX) - 2009

sample. Moreover, the Bootstrap without replacement results do not support the risk based explanation. …

Persistent link: https://www.econbiz.de/10010707625

Simulation in Statistics

Robert, Christian P. - Université Paris-Dauphine (Paris IX) - 2011

Simulation has become a standard tool in statistics because it may be the only tool available for analysing some classes of probabilistic models. We review in this paper simulation tools that have been specifically derived to address statistical challenges and, in particular, recent advances in...

Persistent link: https://www.econbiz.de/10010707776

Earnings forecast bias - a statistical analysis

Michalon, Karine; Lardic, Sandrine; Dossou, François - Université Paris-Dauphine (Paris IX) - 2005

well-known phenomenon, namely the existence of a positive bias in experts' anticipations: the latter tend to over …-estimate earnings. In this paper, we study the properties of this bias according to various aspects, that is to say according to country …

Persistent link: https://www.econbiz.de/10010905358

Benefits and Risks of Alternative Investment Strategies

Vaissié, Mathieu; Amenc, Noël; Martellini, Lionel - Université Paris-Dauphine (Paris IX) - 2003

Persistent link: https://www.econbiz.de/10011073624