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...

This paper considers GARCH(1,1) models in which the time-varying coefficients are functions of the realizations of an exogenous stochastic process. Time series generated by this model are in general nonstationary. Necessary and sufficient conditions are given for the existence of non-explosive...

The article focuses on the leverage effect modeling as a form of stochastic processes through the volatility model. It states that leverage effect is characterized by a subsequent stock price dropping and increase in volatility. It mentions that the first model that describes the volatility and...

Outliers can lead to model misspecifications, poor forecasts and invalid inferences. Their identification and correction is therefore an important objective of financial modeling. This paper introduces a simple method to detect outliers in a financial series. It uses an AR(1)–GARCH(1,1) model...

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...

Access to modern energy is believed to be a prerequisite for sustainable development, poverty alleviation and the achievement of the Millennium Development Goals. However, theoretical models and empirical results offer conflicting evidence on the relationship between energy consumption and...

This paper examines empirically whether nonlinearities play a significant role in the modeling of the carbon price. We highlight the limits of previous carbon markets analyses based essentially on a linear econometric framework. Instead, we propose to revisit the main results on carbon pricing...

We present the framework of a macro-micro simulation model for the study of the impact of economic policies on income distribution and monetary poverty in Madagascar. Modelling options and choices are discussed for the micro-economic module and for the macro-micro linkages. Econometric...

This study aims to analyse the impact of the measurement of health status on socioeconomic inequalities in health. A MIMIC model with structural equations is used to create a latent variable of health status from four health indicators : self-assessed health, report of chronic diseases, report...