Similar Search Results

Studentization and deriving accurate p-values

Rousseau, Judith; Fraser, Donald - Université Paris-Dauphine (Paris IX) - 2008

Bayesian literature, with many variations and some preference for two versions labelled pppost and pcpred. The bootstrap method … develop: an ancillary based p-value designated panc; a special version of the Bayesian pcpred; and a bootstrap based p … bootstrap would require a magnitude more in computation and would perhaps not be accessible. Examples are given to indicate the …

Persistent link: https://www.econbiz.de/10010905315

Simulation in Statistics

Robert, Christian P. - Université Paris-Dauphine (Paris IX) - 2011

Simulation has become a standard tool in statistics because it may be the only tool available for analysing some classes of probabilistic models. We review in this paper simulation tools that have been specifically derived to address statistical challenges and, in particular, recent advances in...

Persistent link: https://www.econbiz.de/10010707776

Time and dynamic Volume-Volatility Relation around Option Listing: Evidence from the French Underlying Stocks

Tekaya, Rim; Jouaber, Kaouther - Université Paris-Dauphine (Paris IX) - 2010

We empirically investigate the impact of option listing on the underlying stock efficiency by looking at the volume-volatility relation of underlying stock. We use a time- consistent bivariate VAR (Vector Autoregressive Regression) model that includes time duration between trades. This model...

Persistent link: https://www.econbiz.de/10010707501

No contagion, only globalization and flight to quality

Szafarz, Ariane; Chapelle, Ariane; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2012

In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect to globalization effects. A large database is constructed to study the stability of correlation matrices for four asset classes : equities,...

Persistent link: https://www.econbiz.de/10010707605

How does option listing affect the underlying stock price duration ? A study of French underlying stock efficiency

Jouaber, Kaouther; Tekaya, Rim - Université Paris-Dauphine (Paris IX) - 2009

We empirically investigate the effect of option listing on the underlying stock pricing efficiency by examining the stock price duration dynamic. We use univariate tests and modified Log-ACD models that account for liquidity. Results indicate that option listing neither damages nor improves the...

Persistent link: https://www.econbiz.de/10010708183

The Correction of Chronologic Series’ Seasonal Fluctuations according to Seasonal Simultaneous Additive and Multiplicative Effects

Vallin, Philippe; Bourbonnais, Régis - Université Paris-Dauphine (Paris IX) - 2007

In this study we set the problem of the probable existence of an additive and multiplicative mixed seasonality. In this context, we show by some simulation that the seasonality correction according to a pure additive or a pure multiplicative scheme leads to biased estimators of the coefficients...

Persistent link: https://www.econbiz.de/10010708239

The Effect of Option listing on the Underlying Stock Volume Volatility Relation : A Study of French Underlying Stock Efficiency

Jouaber, Kaouther; Tekaya, Rim - Université Paris-Dauphine (Paris IX) - 2010

We empirically investigated the impact of option listing on the underlying stock efficiency by looking at the volume-volatility relation. We use a time-consistent bivariate VAR (Vector Autoregressive Regression) model that accounts for time duration between trades. Post-listing and pre-listing...

Persistent link: https://www.econbiz.de/10010708723

Statistique appliquée à la Gestion (8e éd.)

Giard, Vincent - Université Paris-Dauphine (Paris IX) - 2007

Présente les principaux outils statistiques utilisés par les gestionnaires, illustrés par des QCM et des exercices corrigés : statistique descriptive, probabilités, principales distributions théoriques, induction statistique (échantillonnage et estimation), tests d'hypothèse, ajustement...

Persistent link: https://www.econbiz.de/10011072437

ARFIMA Process : Tests and Applications at a White Noise Process, A Random Walk Process and the Stock Exchange Index CAC 40

Maftei, Magda Mara; Bourbonnais, Régis - Université Paris-Dauphine (Paris IX) - 2012

The assumption of linearity is implicitly accepted in the process which generates a time series condition submitted to a ARIMA. That is why, in this paper, we shall discuss the research of long memory in the processes: the fractional ARIMA models, denoted as ARFIMA, where d and D, the degree of...

Persistent link: https://www.econbiz.de/10011166399

Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky

Szafarz, Ariane; Oosterlinck, Kim; Mignon, Valérie; … - Université Paris-Dauphine (Paris IX) - 2013

The market portfolio efficiency remains controversial. This paper develops a new test of portfolio mean-variance efficiency relying on the realistic assumption that all assets are risky. The test is based on the vertical distance of a portfolio from the efficient frontier. Monte Carlo...

Persistent link: https://www.econbiz.de/10011166426