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...

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...

This paper proposes an evaluation of the main empirical approaches used in the literature to estimate the productive contribution of public capital stock to private factors productivity and growth. Our analysis is based on the replication of these approaches on pseudo samples generated using a...

This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results...

The estimation of the jump component in asset pricing has witnessed a considerably growing body of literature. Of particular interest is the decomposition of total volatility between its continuous and jump components. Recent contributions highlight the importance of the jump component in...

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...

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...

We propose a method for pricing American options whose payoff depends on the moving average of the underlying asset price. The method uses a finite-dimensional approximation of the infinite-dimensional dynamics of the moving average process based on a truncated Laguerre series expansion. The...

L’objet de cette étude est d’évaluer l’impact des décisions des agences de notation (modifications de notation de crédit et les mises sous surveillance de ces notations) sur le prix des actions. Nous concentrons notre étude sur le marché français et comparons nos résultats aux...

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...