Similar Search Results

On the volatility-volume relationship in energy futures markets using intraday data

Chevallier, Julien; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2012

This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas … futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on … test whether the volatility-volume relationship is symmetric for energy futures by considering positive and negative …

Persistent link: https://www.econbiz.de/10011072230

From Measure Changes to Time Changes in Asset Pricing

Geman, Hélyette - Université Paris-Dauphine (Paris IX) - 2005

The goal of the paper is to review the last 35 years of continuous-time finance by focusing on two major advances: (i) The powerful elegance of the martingale representation for primitive assets and attainable contingent claims in more and more general settings, thanks to the probabilistic tool...

Persistent link: https://www.econbiz.de/10011072416

Business Cycle and Stock Market Volatility: A Particle Filter Approach

Casarin, Roberto; Trecroci, Carmine - Université Paris-Dauphine (Paris IX) - 2006

the business cycle and stock market valuations by estimating a Markov switching stochastic volatility model. We propose a …

Persistent link: https://www.econbiz.de/10011072864

The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises

Avouyi-Dovi, Sanvi; Horny, Guillaume; Sevestre, Patrick - Université Paris-Dauphine (Paris IX) - 2015

- run relationship between banks’ lending rates and banks’ marginal cost, as w ell as stochastic volatility . Our empirical …

Persistent link: https://www.econbiz.de/10011273981

Systemic Risk in Commodity Markets: What Do Trees Tell Us About Crises?

Lautier, Delphine; Ling, Julien; Raynaud, Franck - Université Paris-Dauphine (Paris IX) - 2015

We examine the impact, on commodity derivative markets, of two financial crises: the Subprime crisis and the bankruptcy of Lehman Brothers. These crises are "external" for commodity markets: they appeared in the financial sphere. Still, because now commodity markets are highly integrated,...

Persistent link: https://www.econbiz.de/10011205310

Systemic Risk and Complex Systems: A Graph-Theory Analysis

Lautier, Delphine; Raynaud, Franck - Université Paris-Dauphine (Paris IX) - 2013

This chapter summarizes several empirical studies in finance, undertaken through the prism of the graph theory. In these studies, we built graphs in order to investigate integration and systemic risk in derivative markets. Several classes of underlying assets (i.e. energy products, metals,...

Persistent link: https://www.econbiz.de/10010960550

A Class of Models satisfying a Dynamical Version of the CAPM

Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2003

Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.

Persistent link: https://www.econbiz.de/10010905244

How Do Price Limits Influence French Market Microstructure? A High Frequency Data Analysis in Terms of Return, Volatility and Volume

Michalon, Karine - Université Paris-Dauphine (Paris IX) - 2013

stock exchange market. We analyze the impact of such halts on the main market factors: return, volatility and volume. Our …

Persistent link: https://www.econbiz.de/10010760433

Impact des interruptions de cotation sur la microstructure du marché boursier français

Michalon, Karine - Université Paris-Dauphine (Paris IX) - 2003

information and volatility and to allow the emergence of a consensus. The use of these interruptions is very frequent on the … capitalizations. However, our empirical study emphasizes an inefficiency of the reservations of quotation. Indeed, the volatility of …

Persistent link: https://www.econbiz.de/10010764096

Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market

Idier, Julien; Avouyi-Dovi, Sanvi - Université Paris-Dauphine (Paris IX) - 2010

We examine the effects of collateral provision as a potential channel between funding liquidity tensions and the scarcity of market liquidity. This channel consists in transferring the credit risk associated with refinancing operations between financial institutions to market participants that...

Persistent link: https://www.econbiz.de/10010861364