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The Performance of Islamic Investment: Evidence from the Dow Jones Islamic Indexes
Jouaber, Kaouther; Ben Salah, Meriem; Rigobert, … - Université Paris-Dauphine (Paris IX) - 2012
We use several measures to compare the performance of a large set of Dow Jones Islamic indexes to selected benchmarks. We test the performance over the whole period and then focus on extreme events. We identify extreme events as the 100 lowest and the 100 highest conventional World Indexes daily...
Persistent link: https://www.econbiz.de/10011073344
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Time and dynamic Volume-Volatility Relation around Option Listing: Evidence from the French Underlying Stocks
Tekaya, Rim; Jouaber, Kaouther - Université Paris-Dauphine (Paris IX) - 2010
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...
Persistent link: https://www.econbiz.de/10010707501
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No contagion, only globalization and flight to quality
Szafarz, Ariane; Chapelle, Ariane; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2012
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,...
Persistent link: https://www.econbiz.de/10010707605
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How does option listing affect the underlying stock price duration ? A study of French underlying stock efficiency
Jouaber, Kaouther; Tekaya, Rim - Université Paris-Dauphine (Paris IX) - 2009
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...
Persistent link: https://www.econbiz.de/10010708183
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The Correction of Chronologic Series’ Seasonal Fluctuations according to Seasonal Simultaneous Additive and Multiplicative Effects
Vallin, Philippe; Bourbonnais, Régis - Université Paris-Dauphine (Paris IX) - 2007
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...
Persistent link: https://www.econbiz.de/10010708239
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The Effect of Option listing on the Underlying Stock Volume Volatility Relation : A Study of French Underlying Stock Efficiency
Jouaber, Kaouther; Tekaya, Rim - Université Paris-Dauphine (Paris IX) - 2010
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...
Persistent link: https://www.econbiz.de/10010708723
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Statistique appliquée à la Gestion (8e éd.)
Giard, Vincent - Université Paris-Dauphine (Paris IX) - 2007
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...
Persistent link: https://www.econbiz.de/10011072437
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ARFIMA Process : Tests and Applications at a White Noise Process, A Random Walk Process and the Stock Exchange Index CAC 40
Maftei, Magda Mara; Bourbonnais, Régis - Université Paris-Dauphine (Paris IX) - 2012
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...
Persistent link: https://www.econbiz.de/10011166399
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Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky
Szafarz, Ariane; Oosterlinck, Kim; Mignon, Valérie; … - Université Paris-Dauphine (Paris IX) - 2013
The market portfolio efficiency remains controversial. This paper develops a new test of portfolio mean-variance … portfolio from the efficient frontier. Monte Carlo simulations show that our test outperforms the previous mean-variance … the U.S. equity market highlights that the market portfolio is not mean-variance efficient, and so invalidates the zero …
Persistent link: https://www.econbiz.de/10011166426
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Effort or Circumstances : Which one matters in health inequality ?
Trannoy, Alain; Tubeuf, Sandy; Jusot, Florence - Université Paris-Dauphine (Paris IX) - 2010
undertaken in 2006 and partly designed for this purpose, and the natural decomposition of the variance, the contribution of …
Persistent link: https://www.econbiz.de/10011072585