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Partial Indexation, Trend Inflation, and the Hybrid Phillips Curve
Sahuc, J-G. - Banque de France - 2004
This paper proposes a full description of the Calvo price-setting model based on partial prices indexation and studies the interaction between partial indexation and trend inflation. We show that using a hybrid version of the Phillips curve partly decreases the risks of overestimate due to the...
Persistent link: https://www.econbiz.de/10005056511
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Modélisation stochastique de risque technique d'assurance non vie : application à une ligne d'activité et mesure annuelle de reisque
El Msiyah, Cherif - In: Assurances et gestion des risques : revue trimestrielle 83 (2016) 1/2, pp. 71-90
Persistent link: https://www.econbiz.de/10011644083
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Provisionnement et mesure de risque en assurance dommage dans le cadre de Solvabilité II
Khordj, Mohamed; Haffar, Adlane; Teulon, Frédéric - In: Revue Gestion 2000 : management & prospective 34 (2017) 3, pp. 137-168
Persistent link: https://www.econbiz.de/10011964551
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La responsabilité sociale, est-elle une variable influençant les performances d’entreprise?
Falavigna, Greta - Istituto di Ricerca sulla Crescita Economica … - 2008
In the last decades, Corporate Social Responsibility (CSR) has been deeply studied. Many researchers focused on the best social report form underlining advantages, and they shown that these documents follow more and more often balance-sheets. This work analyses the relation between the writing...
Persistent link: https://www.econbiz.de/10005087057
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Is foreign-bank efficiency in financial centers driven by homecountry characteristics?
Curi, Claudia; Guarda, Paolo; Lozano-Vivas, Ana; … - Central Bank of Luxembourg - 2011
. We also control for the level of GDP in the home country and its position in the business cycle. The two-stage bootstrap …
Persistent link: https://www.econbiz.de/10009324232
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The New Version of the Model MZE, Macroeconometric Model for the Eurozone
BARLET, M.; CLERC, M.-É.; GARNERO, M.; LAPÈGUE, V.; … - Département des Études Économiques d'Ensemble (D3E), … - 2011
This paper presents the main improvements carried out to the macroeconometric model MZE since its creation in 2003. We have back-calculated the series over the period 1980-1995, in order to make the model more stable. To our knowledge, this paper is the first application of Kllians (1998) method...
Persistent link: https://www.econbiz.de/10009364398
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Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models
Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003
comparons à des estimations engendrées par simulation de ces caractéristiques sous cette même hypothèse distributionnelle. Les … dans cet article sont alors évalulées par une simulation de petite taille. Finalement, les tests proposés sont appliqués à …
Persistent link: https://www.econbiz.de/10005100629
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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
In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...
Persistent link: https://www.econbiz.de/10005100677
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Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing
Dufour, Jean-Marie; Jouini, Tarek - Centre Interuniversitaire de Recherche en Analyse des … - 2005
the use of asymptotic distributions or bootstrap techniques. After documenting that such methods can be very misleading … general simulation-based technique that allows one to control completely the level of tests in parametric VAR models. In … asymptotique ou une technique de bootstrap. Après avoir montré que ces méthodes peuvent être très peu fiables, même avec des …
Persistent link: https://www.econbiz.de/10005100698
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Asymptotic distribution of a simple linear estimator for VARMA models in echelon form
Dufour, Jean-Marie; Jouini, Tarek - Centre Interuniversitaire de Recherche en Analyse des … - 2005
générales qui assurent la convergence et la normalité asymptotique de l'estimateur. Nous fournissons aussi un estimateur …
Persistent link: https://www.econbiz.de/10005100706