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...

With hedgefunds, managers develop risk management models that mainly aim to play on the effect of de correlation.In order to achieve this goal,companies use the correlation coefficient as an indicator for measuring dependencies existing between(i)the various hedge funds strategies and share...

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...

This paper studies a very thorough e-trading data base, including all of the bid/ask orders and daily portfolio values of more than 600 on-line amateur traders in the Paris Stock market focusing on the stormy period covering 2007-2009. Traders also participate in a monthly contest and can win...

The objective of this article is to identify the monetary plurality in economic theory. We will try to throw light on the way in which theories are attracted towards both unicity and plurality, and more specifically by unification and diversification of money. It should also be noted, in this...

In the short novel Ferragus, Balzac tells of the rise and fall of the Desmarets couple. Their trajectory within the Parisian commercial bourgeoisie under the Restauration period illustrates three interwoven forms of symbolic capital: professional reputation, matrimonial trust and social honor....

This article aims at establishing an understanding of the common risk factors in commodity markets, as well as their interactions with equities, currencies and interest rates. Since commodity markets often exhibit cross-sectional dependency, common risk factors exist and can be identified. By...

Using the structural unobserved component (UC) modeling, this study analyzes the Senegalese economic growth path after 5 decades of independence by focusing on the potential output, the GDP cycle and the type of shocks on the GDP. Empirical evidence suggests that an inventory cycle mainly drives...