We consider the VaR associated with the global loss generated by a set risk sources. We propose a sequence of simple models incorporating progressively the notions of contagion due to instantaneous correlations, of serial correlation, of evolution of the instantaneous correlations, of volatility...

DRC geopolitical situation was conceived by the colonizer in terms of his own interests based on the facility of the exporting means of our wealth towards the metropolis. During the second republic, the building of some airports had as unique criterion of selection, the interests of president....

Presentation of the PLS regression

La régulation des émissions azotées dans le bassin d’un cours d’eau s'inscrit généralement dans un cadre institutionnel où les objectifs, en terme de valeurs maximales et de valeurs guides, sont donnés par la législation. Le caractère diffus d'une partie des émissions et les...

English Abstract: In balancing international financial data (Lane and Milesi-Ferretti, 2006), contrary to most matrix adjustment problems, the only constraints are that, for any given category of assets and liabilities, the sum of assets over countries must equal the sum of liabilities....

We estimate the reaction function of monetary policy in the Euro area and derive the Taylor-type policy rule that a would-be ECB would have followed since the beginning of the European Monetary System (1979-2003). We first follow the standard GMM methodology developed by Clarida, Galí and...

In this article we estimate a time-varying " natural " rate of interest (TVNRI) for a synthetic euro area over the period 1979Q1-2002Q4 using a small backward-looking macroeconomic model, broadly following a methodology developed by Laubach and Williams (2003) for the United States. The Kalman...

The popularity of Kalman filter is increasing in financial studies, notably to estimate diffusion processes. In this article, we show how we can use it to forecast the volatility of returns and the price-earnings ratio of the S&P500. The Kalman filter is consequently very versatile when...