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Quelle taille de transaction échangent les investisseurs informés sur le LSE ?
Guermas, Lila - Université Paris-Dauphine (Paris IX) - 2005
Persistent link: https://www.econbiz.de/10010905298
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The Impact of Overconfidence Bias and Disposition Effect on the Volume of Transaction and the Volatility of the French Stock Market
Siwar, Ellouz - Université Paris-Dauphine (Paris IX) - 2011
phenomena as well as the one of the asymmetry of the volatility on the French stock market. The objective of this paper is to …
Persistent link: https://www.econbiz.de/10010707933
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A Volatility-Driven Asset Allocation (VDAA)
Morel, Christophe; Michel, Thierry; Michel, Laurent - Université Paris-Dauphine (Paris IX) - 2010
This article advocates a systematic rebalancing process –Volatility-Driven Asset Allocation or VDAA – for dynamically … the global volatility of the portfolio by decreasing exposure in asset classes yielding temporarily higher risk …
Persistent link: https://www.econbiz.de/10010861626
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Financial Markets Equilibrium with Heterogeneous Agents
Napp, Clotilde; Malamud, Semyon; Jouini, Elyès; … - Université Paris-Dauphine (Paris IX) - 2012
shares, the market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility …
Persistent link: https://www.econbiz.de/10010708121
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Crisis-Robust Bond Portfolios
Szafarz, Ariane; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2008
Persistent link: https://www.econbiz.de/10011166464
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Cross-market linkages between commodities, stocks and bonds
Ielpo, Florian; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013
This article assesses the cross-market linkages between commodities, stocks and bonds in a cointegration framework during 1993–2011
Persistent link: https://www.econbiz.de/10010707610
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Volatility spillovers in commodity markets
Ielpo, Florian; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013
This article investigates volatility spillovers in commodity markets by following the methodology pioneered in Diebold … volatility spillovers within commodities? between standard assets and commodities? between commodities and commodity currencies …? The main results indicate first that commodities exhibit weaker than other asset classes volatility spillovers. These …
Persistent link: https://www.econbiz.de/10010708343
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Understanding momentum in commodity markets
Ielpo, Florian; Gatumel, Mathieu; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013
This article investigates momentum strategies in commodity markets. Using a Markov-switching model and formal tests for the number of regimes in the data, we identify momentum trends for a variety of commodities, exchange rates, interest rates and equities. The data cover the period 1995–2012...
Persistent link: https://www.econbiz.de/10010708391
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Systemic Risk in Commodity Markets: What Do Trees Tell Us About Crises?
Lautier, Delphine; Ling, Julien; Raynaud, Franck - Université Paris-Dauphine (Paris IX) - 2015
We examine the impact, on commodity derivative markets, of two financial crises: the Subprime crisis and the bankruptcy of Lehman Brothers. These crises are "external" for commodity markets: they appeared in the financial sphere. Still, because now commodity markets are highly integrated,...
Persistent link: https://www.econbiz.de/10011205310
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Les marchés dérivés énergétiques
Lautier, Delphine; Simon, Yves - Université Paris-Dauphine (Paris IX) - 2009
Persistent link: https://www.econbiz.de/10010861428