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Cross-Market Spillovers with 'Volatility Surprise'
Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2014
updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers … do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to … commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the ‘volatility surprise …
Persistent link: https://www.econbiz.de/10011205314
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Fonds de pension américains : une évaluation du risque macroéconomique
Gonand, Frédéric - Université Paris-Dauphine (Paris IX) - 2004
The American pension funds system reinforces the sensibility of the American economy to financial markets fluctuations. Market risk is supported by companies as concerns defined benefits funds (DB) and by households as regards defined contributions plans (DC). DC funds are often over-invested in...
Persistent link: https://www.econbiz.de/10010708329
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A note on market completeness with American put options
Campi, Luciano - Université Paris-Dauphine (Paris IX) - 2014
We consider a non necessarily complete financial market with one bond and one risky asset, whose price process is modelled by a suitably integrable, strictly positive, càdlàg process $S$ over $[0, T]$. Every option price is defined as the conditional expectation under a given equivalent (true)...
Persistent link: https://www.econbiz.de/10011074294
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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
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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
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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
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A Volatility-Driven Asset Allocation (VDAA)
Morel, Christophe; Michel, Thierry; Michel, Laurent - Université Paris-Dauphine (Paris IX) - 2010
This article advocates a systematic rebalancing process –Volatility-Driven Asset Allocation or VDAA – for dynamically … the global volatility of the portfolio by decreasing exposure in asset classes yielding temporarily higher risk …
Persistent link: https://www.econbiz.de/10010861626
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The impact of unconventional monetary policy on the market for collateral: The case of the French bond market
Avouyi-Dovi, Sanvi; Idier, Julien - Université Paris-Dauphine (Paris IX) - 2012
financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French …; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia …
Persistent link: https://www.econbiz.de/10010706618
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Liquidity and volatility in the American crude oil futures market
Riva, Fabrice; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2004
on prices volatility. The latter is separated into two components: an information component, that reflects a rational … show that a significant part of the volatility recorded during exchange trading hours is due to mispricing errors. …
Persistent link: https://www.econbiz.de/10010707195
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Quelle est l'influence des interruptions de cotation sur la microstructure du marché boursier français ? Une analyse intraquotidienne en termes de rentabilité, volatilité et volume...
Michalon, Karine - Université Paris-Dauphine (Paris IX) - 2004
The purpose of the regulated halts on stock exchange markets is to spread the information on the market and to protect the interests of the small shareholders. The aim of this work is to empirically investigate the trading halts on the French stock exchange market. We proceed to a detailed...
Persistent link: https://www.econbiz.de/10010707290