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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
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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
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Viability-based computation of spatially constrained minimum time trajectories for an autonomous underwater vehicle: implementation and experiments
Bayen, Alexandre M.; Silva, Jorge Estrela; Madureira, Luis - Université Paris-Dauphine (Paris IX) - 2009
A viability algorithm is developed to compute the constrained minimum time function for general dynamical systems. The algorithm is instantiated for a specific dynamics(Dubin’s vehicle forced by a flow field) in order to numerically solve the minimum time problem. With the specific...
Persistent link: https://www.econbiz.de/10011072826
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Understanding the Fine Structure of Electricity Prices
Geman, Hélyette; Roncoroni, Andréa - Université Paris-Dauphine (Paris IX) - 2006
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...
Persistent link: https://www.econbiz.de/10011166403
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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
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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
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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
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Volatility transmission and volatility impulse response functions in European electricity forward markets
Sévi, Benoît; Le Pen, Yannick - Université Paris-Dauphine (Paris IX) - 2010
Using daily data from March 2001 to June 2005, we estimate a VAR-BEKK model and find evidence of return and volatility spillovers between the German, the Dutch and the British forward electricity markets. We apply Hafner and Herwartz [2006, Journal of International Money and Finance 25,...
Persistent link: https://www.econbiz.de/10010706560
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A note on cointegrating and vector autoregressive relationships between CO2 allowances spot and futures prices
Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2010
This article investigates the cointegrating and vector autoregressive relationships in CO2 allowances spot and futures prices, valid for compliance under the EU Emissions Trading Scheme (EU ETS). Our empirical analysis yields to reject a cointegrating relationship between CO2 spot and futures...
Persistent link: https://www.econbiz.de/10010707352
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EUAs and CERs : Vector autoregression, impulse response function and cointegration analysis
Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2010
EUAs are European Union Allowances traded on the EU Emissions Trading Scheme (EU ETS), while Certified Emissions Reductions (CERs) arise from the Clean Development Mechanism under the Kyoto Protocol. These emissions assets attract an increasing attention among brokers, investors and operators on...
Persistent link: https://www.econbiz.de/10010707645