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Pricing CAC 40 Index Options under Asymmetry of Information.

Aboura, Sofiane - Université Paris-Dauphine - 2005

This article analyses, for the first time, the financial impact on the French market of September 11th, 2001. Was there any information asymmetry around this date? How deep was the reaction of the French investors? This study measures the magnitude of the shock in the stock price process.

Persistent link: https://www.econbiz.de/10008572194

GARCH option pricing under skew.

Aboura, Sofiane - Université Paris-Dauphine - 2005

European style options for various maturities. We analyze the validity of the model given its ability to price one-day ahead … out-of-sample call options and also its ability to capture the empirical dynamic of the volatility skew. First, we get a … severe mispricing for deep out-of-the-money and short term call options. Second, this model reveals a good ability to capture …

Persistent link: https://www.econbiz.de/10008520036

The Bootstrap of Mean for Dependent Heterogeneous Arrays.

GONÇALVES, Silvia; WHITE, Halbert - Département de Sciences Économiques, Université de … - 2001

Presently, conditions ensuring the validity of bootstrap methods for the sample mean of (possibly heterogeneous) near epoch dependent (NED) functions of mixing processes are unknown. Here we establish the validity of the bootstrap in this context, extending the applicability of bootstrap methods...

Persistent link: https://www.econbiz.de/10005545776

The Bootstrap of Mean for Dependent Heterogeneous Arrays.

Goncalves, S.; White, H. - Centre Interuniversitaire de Recherche en Économie … - 2001

Presently, conditions ensuring the validity of bootstrap methods for sample mean of (possibly heterogeneous) near epoch dependent (NED) functions of mixing processes are known. Here we establish the validity of the bootstrap in this context, extending the applicability of bootstrap methods to a...

Persistent link: https://www.econbiz.de/10005729620

Simulation-Based Finite-and Large-sample Inference Methods in Multivariate Regressions and Seemingly Unrelated Regressions

DUFOUR, Jean-Marie; KHALAF, Lynda - Département de Sciences Économiques, Université de … - 1998

In the context of multivariate regression (MLR) and seemingly unrelated regressions (SURE) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. in this paper, we propose finite-and large-sample likelihood-based test procedures for...

Persistent link: https://www.econbiz.de/10005729768

Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality

Davidson, Russell; Duclos, Jean-Yves - Département d'Économique, Université Laval - 1998

We derive the asymptotic sampling distribution of various estimators frequently used to order distributions in terms of poverty, welfare and inequality. This includes estimators of most of the poverty indices currently in use, as well as estimators of the curves used to infer stochastic...

Persistent link: https://www.econbiz.de/10005696442

Detecting instability in the volatility of carbon prices.

Chevallier, Julien - Université Paris-Dauphine - 2011

This article investigates the presence of outliers in the volatility of carbon prices. We compute three different measures of volatility for European Union Allowances, based on daily data (EGARCH model), option prices (implied volatility), and intraday data (realized volatility). Based on the...

Persistent link: https://www.econbiz.de/10008725852

Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression

DUFOUR, Jean-Marie; FARHAT, Abdeljelil; KHALAF, Lynda - Centre Interuniversitaire de Recherche en Économie … - 2005

This paper illustrates the usefulness of resampling based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...

Persistent link: https://www.econbiz.de/10008671569

Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda - Centre Interuniversitaire de Recherche en Économie … - 2005

In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in...

Persistent link: https://www.econbiz.de/10008671570

Estimating Nonlinear DSGE Models by the Simulated Method of Moments

RUGE-MURCIA, Francisco J. - Centre Interuniversitaire de Recherche en Économie … - 2010

This paper studies the application of the simulated method of moments (SMM) for the estimation of nonlinear dynamic stochastic general equilibrium (DSGE) models. Monte Carlo analysis is employed to examine the small-sample properties of SMM in specifications with different curvature. Results...

Persistent link: https://www.econbiz.de/10010616524