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...

This paper examines empirically whether nonlinearities play a significant role in the modeling of the carbon price. We highlight the limits of previous carbon markets analyses based essentially on a linear econometric framework. Instead, we propose to revisit the main results on carbon pricing...

Montre en quel sens la mondialisation s'est accompagnée d'une augmentation considérable de la quantité de risques financiers, ce qui a été l'élément déterminant du déclenchement de la crise de septembre 2008.

The risk-neutral process is modeled by a four parameter self-similar process of independent increments with a self-decomposable law for its unit time distribution. Six different processes in this general class are theoretically formulated and empirically investigated. We show that all six models...

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...

The aim of this work consists of a panoramic study of trading halts (trading reservations and suspensions) in the different world stock Exchanges. We draw up an inventory of the regulatory environments. We then compare the practices on the international financial markets. We show that the...