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Hamon, Jacques - Université Paris-Dauphine (Paris IX) - 2013

Exchange Traded Funds (ETF) are designed to track a benchmark. ETF facilitate asset management and contribute to reduce management fees and transaction costs, they are traded like stocks at current price on continuous markets and meet an increasing success. Initially, anETFwas a stock...

Persistent link: https://www.econbiz.de/10010707604

Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options

Féron, Olivier; Monfort, Alain - Université Paris-Dauphine (Paris IX) - 2012

We propose a joint modeling of spot electricity prices, forwards prices and other derivative prices, using recent … prices, while allowing for a large flexibility in the modeling of dynamics, spikes, and seasonality, both in the historical … filter and the Kitagawa-Hamilton filter. Finally, an application based on French spot prices and forward products is proposed. …

Persistent link: https://www.econbiz.de/10010861561

Does Inter-Market Competition Lead to Less Regulation?

Draus, Sarah - Université Paris-Dauphine (Paris IX) - 2010

This paper presents a model to analyze the consequences of competition in order-flow between a profit maximizing stock exchange and an alternative trading platform on the decisions concerning trading fees and listing requirements. Listing requirements, set by the exchange, provide public...

Persistent link: https://www.econbiz.de/10010861379

Centralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)

Gresse, Carole; Gajewski, Jean-François - Université Paris-Dauphine (Paris IX) - 2007

This article compares the cost of trading large capitalisation equities on the hybrid order-driven segment of the London Stock Exchange and the centralised electronic order book of Euronext. Using samples of stocks matched according to economic sector, free float capitalisation, and trading...

Persistent link: https://www.econbiz.de/10010905293

The cross-market index for volatility surprise

Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2014

This article proposes a new empirical methodology for computing a cross-market volatility index - coined CMIX - based on the Factor-Dynamic Conditional Correlation (DCC) model, implemented on volatility surprises. This approach solves problems in treating high-dimensional data and estimating...

Persistent link: https://www.econbiz.de/10010781511

Notations et écarts de rentabilité : le marché français avant l'euro

Merli, Maxime; Alexandre, Hervé - Université Paris-Dauphine (Paris IX) - 2003

The main task of this paper is to confront two classical measures of default risk of the issuer, the rating and the spread. The first is attributed by agencies specialized in this activity (Standard and Poor's or Moody's) while the second results directly from the market price of the bond. This...

Persistent link: https://www.econbiz.de/10010707346

Arbitrage pricing and equilibrium pricing : compatibility conditions

Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2001

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price rocesses. In the more...

Persistent link: https://www.econbiz.de/10010707894

Gestion obligataire

Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2010

Persistent link: https://www.econbiz.de/10010708213

Conventions in the foreign exchange market : Can they really explain exchange rate dynamics ?

Di Filippo, Gabriele - Université Paris-Dauphine (Paris IX) - 2011

The present article provides an unorthodox model exchange rate dynamics based on conventions that prevail among market participants. We build a theoretical model that highlights the mechanisms underlying the formation of market conventions. We then test this model empirically on the euro/dollar...

Persistent link: https://www.econbiz.de/10010708263

Semi-moments based tests of normality and the evolution of stock returns towards normality

Desmoulins-Lebeault, François - Université Paris-Dauphine (Paris IX) - 2004

Testing for normality is of paramount importance in many areas of science since the Gaussian distribution is a key hypothesis in many models. As the use of semi–moments is increasing in physics, economics or ﬁnance, often to judge the distributional properties of a given sample, we propose a...

Persistent link: https://www.econbiz.de/10011072926

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