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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 … options. Contrairement aux marches organises, les options sur ce marche sont cotees en volatilite implicite. Celle-ci reflete … options traitees sur les marches organises. Le recours a une formule d'evaluation d'options est alors necessaire pour extraire …
Persistent link: https://www.econbiz.de/10005406533
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Fundamentals and exchange rate forecastability with machine learning methods
Amat, Christophe; Michalski, Tomasz; Stoltz, Gilles - 2014
Using methods from machine learning we show that fundamentals from simple exchange rate models (PPP or UIRP) or Taylor-rule based models lead to improved exchange rate forecasts for major currencies over the floating period era 1973--2014 at a 1-month forecast horizon which beat the no-change...
Persistent link: https://www.econbiz.de/10010499680
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Prévoir sans persistance.
Boucher, Christophe; Maillet, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012
The forecasting literature has identified three important and broad issues: the predictive content is unstable over time, in-sample and out-of-sample discordant results and the problematic statistical inference with highly persistent predictors. In this paper, we simultaneously address these...
Persistent link: https://www.econbiz.de/10009421811
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Defying gravity : costly signaling to mislead or to inform?
Beneish, Messod Daniel; Capkun, Vedran; Fridson, Martin S. - 2013
While it is generally maintained that earnings management can occur to inform as well as to mislead, evidence that earnings management informs has been scarce, and evidence that credibility increases with signal costliness inexistent. We provide evidence that firms use discretion over financial...
Persistent link: https://www.econbiz.de/10010391190
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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
In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for consistency and asymptotic normality are...
Persistent link: https://www.econbiz.de/10005100706
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Short Run and Long Run Causality in Time Series: Inference
Dufour, Jean-Marie; Pelletier, Denis; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2003
We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...
Persistent link: https://www.econbiz.de/10005100843
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Évaluation de la prime de risque de change dans un contexte régional : une analyse multi-variée du MEDAFI
Guesmi, Khaled - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009
In this paper, we use the segmented conditional ICAPM (International Capital Asset Pricing Model) to study the emerging stock markets integration. To address this issue, we apply the asymmetric multivariate version of GARCH-BEKK with structural break of the variance. It allows to specify the...
Persistent link: https://www.econbiz.de/10008556924
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False news, informational efficiency, and price reversals
Dugast, Jérôme; Foucault, Thierry - 2015
Information processing filters out the noise in data but it takes time. Hence, low precision signals are available before high precision signals. We analyze how this feature affects asset price informativeness when investors can acquire signals of increasing precision over time about the payoff...
Persistent link: https://www.econbiz.de/10010499565
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Désajustements de change, fédéralisme budgétaire et redistribution : comment s’ajuster en union monétaire (Exchange Rate Misalignments, Fiscal Federalism and Redistribution)
Duwicquet, Vincent - 2017
French Abstract: La crise de la zone euro illustre les carences des mécanismes d'ajustements dans une union monétaire caractérisée par une forte hétérogénéité. Cette situation reflète un diagnostic simple. Au niveau de l'ensemble de la zone, l'euro est proche de son taux d'équilibre....
Persistent link: https://www.econbiz.de/10012974961
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Long Term Dynamic of Real Exchange Rate, Trade Liberalization and Financial Integration: The Case of South-East Mediterranean Countries
Thouraya, Hadj Amor; Rita, El Araj - In: Panoeconomicus 56 (2009) 1, pp. 73-93
In this paper, we aim to test the empirical validity of the QTM relationship for the Turkish economy. Using some contemporaneous time series estimation techniques, our estimation results reveal that stationarity characteristics of the velocities of currency in circulation and the broad money...
Persistent link: https://www.econbiz.de/10008554116