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Les méthodes micro-économétriques d’évaluation.

Fougère, D. - Banque de France - 2007

Our survey covers the recent developments of the microeconometric literature on evaluation methods. In this field, the … defining and for examining the identifiability conditions of the parameters of interest in any evaluation study. We insist on … matching estimators in the situation where the selectivity depends only on observables, and on differences …

Persistent link: https://www.econbiz.de/10004998821

Trends non linéaires et co-trending dans le taux de change réel effectif du dinar tunisien

Bouoiyour, Jamal; Marimoutou, Velayoudoum; Rey, Serge - 2003

We study the relationships between the real effective exchange rate (REER) of the Tunisian dinar and its determinants/fundamentals, i.e. the ratio of trade balance/GDP, the ratio of public consumption/GDP, the openness rate and the terms of trade. We find that in the most of cases, the variables...

Persistent link: https://www.econbiz.de/10015226535

D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?.

Hamidi, Benjamin; Jurczenko, Emmanuel; Maillet, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009

In a Constant Proportion Portfolio Insurance (CPPI) framework, a constant risk exposure is defined by the multiple of the strategy. This article proposes an alternative conditional multiple estimation model, which is based on an autoregressive quantile regression dynamic approach. We estimate...

Persistent link: https://www.econbiz.de/10004991605

Fitting high-dimensional Copulae to Data

Okhrin, Ostap - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

This paper make an overview of the copula theory from a practical side. We consider different methods of copula estimation and different Goodness-of-Fit tests for model selection. In the GoF section we apply Kolmogorov-Smirnov and Cramer-von-Mises type tests and calculate power of these tests...

Persistent link: https://www.econbiz.de/10008552435

Inference in Mixed Proportional Hazard Models with K Random Effects

Guillaume Horny. - Banque de France - 2009

A general formulation of Mixed Proportional Hazard models with K random effects is provided. It enables to account for a population stratified at K different levels. We then show how to approximate the partial maximum likelihood estimator using an EM algorithm. In a Monte Carlo study, the...

Persistent link: https://www.econbiz.de/10008479242

Politique active d'emploi et employabilité des jeunes dans la ville d'Abidjan

Kouakou, Clément Kouadio - Groupe d'Economie du Développement de l'Université … - 2010

Cette étude est une contribution à l’analyse du processus d’insertion professionnelle des jeunes urbains à Abidjan. A partir d’une enquête d’insertion professionnelle, l’étude montre que les politiques d’emploi jeunes ont relativement amélioré la situation des bénéficiaires...

Persistent link: https://www.econbiz.de/10008694259

[Phi]*-divergence empirique et vraisemblance empirique généralisée

Bertail, Patrice; Harari-Kermadec, Hugo; Ravaille, Denis - In: Annales d'économie et de statistique 85 (2007), pp. 131-157

Persistent link: https://www.econbiz.de/10003690304

Propositions d'indicateurs macroprudentiels pour le systeme bancaire de la CEMAC

KAMGNA, Severin Yves; TINANG, Nzesseu Jules; TSOMBOU, … - 2009

The main purpose of this paper is to determine the macro-prudential indicators of financial strength that can be used under supervision of the banking system in CEMAC. More specifically, we start from a set of indicators listed in the literature on macro-prudential supervision, and identify...

Persistent link: https://www.econbiz.de/10015217760

Une approche Macroprudentielle du risque systémique en zone CEMAC

Nguenang, Christian; Kamgna, Sévérin yves; Tinang, … - 2010

In this study, we identifie a small number of indicators of macro-prudential supervision important to monitoring of the banking’s system. We use the theory of Markov stochastic processes to measure the systemic risk of CEMAC by calculating the degree of fragility of system and we determine the...

Persistent link: https://www.econbiz.de/10015223527

Estimation des changements des cours du café et du cacao: Filtre de Kalman, filtre de Hodrick-Prescott et modélisation à partir de processus markovien

Bationo, Rakissiwinde; Hounkpodote, Hilaire - 2009

This aim of this study is to estimate the price of coffee and cocoa using a methodology based on Hodrick-Prescott filter, Kalman filter and a Markov Switching Model which, unlike linear models, allows the parameters to vary depending on the economic situation, the transitions between regimes are...

Persistent link: https://www.econbiz.de/10015224420