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L' évaluation de la prime de risque internationale : une analyse empirique sur la région AmériqueLatine et Asie

Guesmi, Khaled; Abid, Ihyes; Haoued, Imène; Sahut, … - In: Revue Gestion 2000 : management & prospective 33 (2016) 1, pp. 85-103

Persistent link: https://www.econbiz.de/10011962237

Market- and Book-Based Models of Probability of Default for Developing Macroprudential Policy Tools

Jin, Xisong; Simone, Francisco Nadal de - Central Bank of Luxembourg - 2011

The recent financial crisis raised awareness of the need for a framework for conducting macroprudential policy. Identifying as early as possible and addressing the buildup of endogenous imbalances, exogenous shocks, and contagion from financial markets, market infrastructures, and financial...

Persistent link: https://www.econbiz.de/10009324235

Co-variation des taux de croissance sectoriels au Luxembourg: l?apport des corrélations conditionnelles dynamiques

Rouabah, Abdelaziz - Central Bank of Luxembourg - 2007

Cette analyse emploie le modèle des corrélations conditionnelles dynamiques développées récemment par Engle (2002) pour déterminer le caractère synchrone ou asynchrone des mouvements des taux de croissance de la valeur ajoutée des différents secteurs économiques au Luxembourg. Le...

Persistent link: https://www.econbiz.de/10009276970

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

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

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

Which Volatility Model for Option Valuation?

Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2002

Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing literature favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time-series of asset returns....

Persistent link: https://www.econbiz.de/10005100917

Risque de modèle de volatilité

Alami, Ali; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2001

The risk-return trade-off being the very substance of finance, volatility has always been an essential parameter for portfolio management. Moreover, the generalization of the use of derivatives has placed in the forefront the concept of volatility risk: i.e. the model risk generated by treating...

Persistent link: https://www.econbiz.de/10005100999

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

Les spams boursiers : Etude empirique sur le marché des penny stocks

BOURAOUI, Taoufik - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2008

evolution of volatility over time through a GARCH (1,1) modelling. We use the methodology of event studies on a sample of …

Persistent link: https://www.econbiz.de/10005170013