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Understanding the Fine Structure of Electricity Prices
Geman, Hélyette; Roncoroni, Andréa - Université Paris-Dauphine (Paris IX) - 2006
This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...
Persistent link: https://www.econbiz.de/10011166403
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Robust outlier detection for Asia–Pacific stock index returns
Ané, Thierry; Ureche-Langau, Loredana; Gambet, Jean-Benoît - Université Paris-Dauphine (Paris IX) - 2008
Outliers can lead to model misspecifications, poor forecasts and invalid inferences. Their identification and correction is therefore an important objective of financial modeling. This paper introduces a simple method to detect outliers in a financial series. It uses an AR(1)–GARCH(1,1) model...
Persistent link: https://www.econbiz.de/10010752616
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Essai de construction de connaissances praticables : le cas de l’organisation du travail
Bouville, Gregor - Université Paris-Dauphine (Paris IX) - 2013
L’objet de la communication est de produire de la connaissance praticable sur l’organisation du travail, en construisant de nouveaux indicateurs de mesure de l’organisation du travail, quantitatifs et qualitatifs. Nous testons leur validité et leur fiabilité sur la base des données...
Persistent link: https://www.econbiz.de/10011073817
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Models implementation: A state of the art
David, Albert - Université Paris-Dauphine (Paris IX) - 2001
“Why are so many models designed and so few used” is a question often discussed within the Operational Research (OR) community. The formulation of the question seems simple, but the concepts and theories that must be mobilised to give it an answer are far more sophisticated. Would there be a...
Persistent link: https://www.econbiz.de/10011073997
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La volatilité des prix des matières premières
Lautier, Delphine; Simon, Yves - Université Paris-Dauphine (Paris IX) - 2004
This article is centred on the volatility of commodity prices. It presents the instruments offering a protection against volatility and shows how they can be employed. The first section exposes these derivative instruments. It distinguishes them in step with the need they respond and the way...
Persistent link: https://www.econbiz.de/10010905033
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On the welfare costs of misspecified monetary policy objectives
Avouyi-Dovi, Sanvi; Sahuc, Jean-Guillaume - Université Paris-Dauphine (Paris IX) - 2011
This paper quantifies the effects on welfare of misspecified monetary policy objectives in a stylized DSGE model. We … show that using inappropriate objectives generates relatively large welfare costs. When expressed in terms of ‘consumption … uncertainty decomposition indicates that uncertainty about the properties of markup shocks gives rise to the largest welfare costs. …
Persistent link: https://www.econbiz.de/10010707497
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A vanilla Rao-Blackwellisation of Metropolis-Hastings algorithms
Douc, Randal; Robert, Christian P. - Université Paris-Dauphine (Paris IX) - 2011
Casella and Robert (1996) presented a general Rao--Blackwellisation principle for accept-reject and Metropolis-Hastings schemes that leads to significant decreases in the variance of the resulting estimators, but at a high cost in computing and storage. Adopting a completely different...
Persistent link: https://www.econbiz.de/10010861432
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Approximating the marginal likelihood in mixture models
Robert, Christian P.; Marin, Jean-Michel - Université Paris-Dauphine (Paris IX) - 2008
In Chib (1995), a method for approximating marginal densities in a Bayesian setting is proposed, with one proeminent application being the estimation of the number of components in a normal mixture. As pointed out in Neal (1999) and Fruhwirth-Schnatter (2004), the approximation often fails short...
Persistent link: https://www.econbiz.de/10010706383
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Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
Warin, Xavier; Bouchard, Bruno - Université Paris-Dauphine (Paris IX) - 2012
The aim of this paper is to discuss efficient algorithms for the pricing of American options by two recently proposed Monte-Carlo type methods, namely the Malliavian calculus and the regression based approaches. We explain how both technics can be exploded with improved complexity and...
Persistent link: https://www.econbiz.de/10010706399
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Introduction to Special Issue on Monte Carlo Methods in Statistics
Doucet, Arnaud; Robert, Christian P. - Université Paris-Dauphine (Paris IX) - 2013
Persistent link: https://www.econbiz.de/10010706529