This paper generalizes the Bollerslev and Zhang (2003) approach for the estimation of loadings of asset pricing models using "realized" measures and co-measures of risk. We propose here to extend this approach by including higher-moments in asset pricing models. Estimations are conducted using...

We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...

French Abstract: A partir de données journalières de la Bourse Régionale des Valeurs Mobilières (BRVM) sur une longue période (2009 à 2014), ce présent mémoire cherche à mesurer l’influence des variables caractérisant les volume et les volatilités sur les rendements de six actions...

This paper illustrates the usefulness of resampling based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...

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...

This paper presents the recent developments of macro-econometric modelling and discusses their advantages and limits. We first present the Sims critique and the Lucas critique. These two critiques have opened two new ways of macro-modelling. On the one hand, the Structural VAR approach allows to...

In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state variables. These latent variables can capture...

Latent variable models in finance originate both from asset pricing theory and time series analysis. These two strands of literature appeal to two different concepts of latent structures, which are both useful to reduce the dimension of a statistical model specified for a multivariate time...

One the most important things to reveal about each economic crisis that can occur is to understand the past and the present and then maybe to try to predict the future. Economic crisis are not new, sooner or later they have common economic phenomenon and common causes and results. What is it not...

Les ingénieurs économistes français avaient accueilli avec beaucoup de réticences l’œuvre de Walras. Ils ne pensaient pas que l’emploi des mathématiques puisse constituer une méthode normale même en économie politique pure. Progressivement leurs réticences s’estompèrent quand...