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Pouvoir predictif de la volatilite implicite dans le prix des options de change
Rzepkowski, Bronka - Centre d'études prospectives et d'informations … - 2001
Les marches derives ont connu une tres forte expansion ces dernieres annees. Une large variete d'options et de futures sont quotidiennement echanges sur indices boursiers, taux d'interet, obligations et devises. Ces marches, en traitant l'information disponible plus rapidement que les marches au...
Persistent link: https://www.econbiz.de/10005406533
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Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003
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 …
Persistent link: https://www.econbiz.de/10005100677
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Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2002
tests for multivariate GARCH and multivariate generalization of the well known variance ratio tests) and goodness of fit … des tests pour les effets GARCH multivariés et une généralisation multivariée des tests de ratio de variance), des tests …
Persistent link: https://www.econbiz.de/10005100885
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Who are the value and growth investors?
Betermier, Sebastien; Calvet, Laurent E.; Sodini, Paolo - 2014
This paper investigates value and growth investing in a large administrative panel of Swedish residents. We show that over the life-cycle, households progressively shift from growth to value as they become older and their balance sheets improve. Furthermore, investors with high human capital and...
Persistent link: https://www.econbiz.de/10010499712
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Equilibrium real exchange rate and misalignments : Lessons from a VAR-ECM model applied to Tunisia
Charfi, Fatma Marrakchi - In: Panoeconomicus 55 (2008) 4, pp. 439-464
Tunisia has experienced a performance when pursuing a constant real exchange rate rule. The limitations of this rule are beginning to emerge in the context of a more open economy, which desire to relax capital controls. This paper estimates the equilibrium real exchange rate of the dinar vis...
Persistent link: https://www.econbiz.de/10008524033
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L'impact des signaux de politique monétaire sur la rentabilité et la volatilité des actions du CAC 40
Belgacem, Aymen - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2008
In this paper, we investigate the impact of surprises made by scheduled monetary policy announcements on French stock market. Most of empirical studies achieved tends to test this effect on U.S stock market. Taken the French market as a representative European stock markets, we study the effect...
Persistent link: https://www.econbiz.de/10005094012
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Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects
Bernard, Jean-Thomas; Dufour, Jean-Marie; Genest, Ian; … - Centre Interuniversitaire de Recherche en Analyse des … - 2001
) ARCH, GARCH and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with: (i) one exogenous … expériences de Monte Carlo que nous effectuons portent sur: (1) les alternatives de type ARCH, GARCH and ARCH-en-moyenne; (2) le …
Persistent link: https://www.econbiz.de/10005101027
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Mesurer l'instabilité macroéconomique: Applications aux données de recettes d'exportation, 1970-2005
Cariolle, Joël - 2012
La littérature sur l'instabilité macroéconomique couvre un champ extrêmement vaste qui se révèle par le spectre très large de mesures utilisées pour appréhender ce phénomène. Le choix de la mesure de l'instabilité macroéconomique apparait généralement peu discuté sous le...
Persistent link: https://www.econbiz.de/10014000796
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Désaisonnalisation des agrégats monétaires : Mise en place d’une chaîne rénovée.
Lacroix, R.; Maurin, L. - Banque de France - 2008
The analysis of seasonality in economics and the development of new seasonal adjustment procedures have been following new directions in the last twenty years. We study this question through the work performed at the Banque de France (Monetary Statistic and Studies Directorate) to compile new...
Persistent link: https://www.econbiz.de/10008528505
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La désaisonnalisation des séries d’agrégats monétaires et de crédit à la Banque de France : aspects théoriques et mise en oeuvre.
Fonteny, E. - Banque de France - 2006
Since July 2003, the Banque de France has been using seasonally adjusted (SA) data for the monthly reporting of national monetary developments, with renewed statistical tools. Before the start of the single currency in 1999, the Banque de France already calculated seasonally adjusted data, using...
Persistent link: https://www.econbiz.de/10004998809