evolution of volatility over time through a GARCH (1,1) modelling. We use the methodology of event studies on a sample of …

assumptions of the Merton model: the assumption of constant asset volatility and the assumption of a single debt maturity. The …

authorities as well, for the financial market volatility. The analysis of these phenomena is justified by the fact that the stock …

GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of … following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such … matrice de covariance des erreurs. Nous considérons des tests contre la dépendance sérielle, contre la présence d'effets GARCH …

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including … tests for multivariate GARCH and multivariate generalization of the well known variance ratio tests) and goodness of fit …

The risk-return trade-off being the very substance of finance, volatility has always been an essential parameter for … volatility risk: i.e. the model risk generated by treating the volatility as a constant parameter, when it is in fact volatile …. Hence the econometrician is asked for accurate measures and reliable forecasts of volatility, not only for pricing and …

This paper studies how financial development affects the relation between average growth and growth volatility through … volatility is more likely to be negative in developing countries, but more likely to be positive in developed economies. Finally …