With hedgefunds, managers develop risk management models that mainly aim to play on the effect of de correlation.In order to achieve this goal,companies use the correlation coefficient as an indicator for measuring dependencies existing between(i)the various hedge funds strategies and share...

Emerging economies and especially the BRICS countries have strong economic ties with the euro area. In addition, the financial crisis in the euro area may have effects on other markets or areas, especially those of the main emerging markets. Credit default swap (CDS) spreads are relevant...

In this study, we test the three factor model of Fama and French and the Characteristic Model of Daniel and Titman (1997) on The French Stock Market over July 1976 to June 2001 period. Stocks are ranked by size and book to market ratios and then by ex-ante HML, SMB or Mkt loadings. The...

This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...

This thesis first presents India’s economy and financial system’s recent history and current issues. Then, with an emphasis on the recent turmoil period, it studies the question of financial integration in various markets: equity markets are dealt with in the 1st chapter, CDS spreads are...

L’objet de cette étude est d’évaluer l’impact des décisions des agences de notation (modifications de notation de crédit et les mises sous surveillance de ces notations) sur le prix des actions. Nous concentrons notre étude sur le marché français et comparons nos résultats aux...

Complementary health insurance plays an increasing role in the French health care system. In this context, identifying individual preferences regarding complementary coverage is crucial to insurance companies as well as public authorities. This paper uses data provided by a major health...

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...