Nous proposons dans cet article d’étudier les effets de l’AFTA sur le commerce intra-zone de l’ASEAN par une analyse gravitationnelle en panel. Le modèle gravitationnel d’origine est enrichi des variables muettes « zone de libre-échange » qui captent, à la fois, les effets intra et...

High prices and insufficient quality of care are observed in nursing homes in France. Reforms are currently under discussion, but governments are facing a dilemma : any measure of price cut is likely to affect quality and any improvement in quality would probably be inflationary. This work...

We empirically investigate the impact of option listing on the underlying stock efficiency by looking at the volume-volatility relation of underlying stock. We use a time- consistent bivariate VAR (Vector Autoregressive Regression) model that includes time duration between trades. This model...

In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect to globalization effects. A large database is constructed to study the stability of correlation matrices for four asset classes : equities,...

We empirically investigate the effect of option listing on the underlying stock pricing efficiency by examining the stock price duration dynamic. We use univariate tests and modified Log-ACD models that account for liquidity. Results indicate that option listing neither damages nor improves the...

In this study we set the problem of the probable existence of an additive and multiplicative mixed seasonality. In this context, we show by some simulation that the seasonality correction according to a pure additive or a pure multiplicative scheme leads to biased estimators of the coefficients...

We empirically investigated the impact of option listing on the underlying stock efficiency by looking at the volume-volatility relation. We use a time-consistent bivariate VAR (Vector Autoregressive Regression) model that accounts for time duration between trades. Post-listing and pre-listing...

Présente les principaux outils statistiques utilisés par les gestionnaires, illustrés par des QCM et des exercices corrigés : statistique descriptive, probabilités, principales distributions théoriques, induction statistique (échantillonnage et estimation), tests d'hypothèse, ajustement...

The assumption of linearity is implicitly accepted in the process which generates a time series condition submitted to a ARIMA. That is why, in this paper, we shall discuss the research of long memory in the processes: the fractional ARIMA models, denoted as ARFIMA, where d and D, the degree of...

The market portfolio efficiency remains controversial. This paper develops a new test of portfolio mean-variance efficiency relying on the realistic assumption that all assets are risky. The test is based on the vertical distance of a portfolio from the efficient frontier. Monte Carlo...