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Stochastic Volatility: Univariate and Multivariate Extensions

Jacquier, Éric; Polson, Nicholas G.; Rossi, Peter E. - Centre Interuniversitaire de Recherche en Analyse des … - 1999

implications on decisions based upon prediction of volatility, especially when dealing with tail prediction as in risk management …

Persistent link: https://www.econbiz.de/10005100719

Evénements extrêmes en finance

Longin, François M. (contributor) - 2002

Persistent link: https://www.econbiz.de/10001702625

RECHERCHE SUR LA RELATION DYNAMIQUE ENTRE LA LE RENDEMENT LA VOLATILITÉ ET LE VOLUME DE TRANSACTION : CAS DE SIX ACTIONS DE LA BRVM (Research on the Dynamic Relationship between Re...

Abdoulaziz, Alhassane - 2021

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...

Persistent link: https://www.econbiz.de/10013218493

Asymmetric Smiles, Leverage Effects and Structural Parameters

Garcia, René; Luger, Richard; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2001

state variables. These latent variables can capture not only the volatility risk and the interest rate risk which … potentially affect option prices, but also any kind of correlation risk and jump risk. The standard financial leverage effect is …

Persistent link: https://www.econbiz.de/10005100971

Latent Variable Models for Stochastic Discount Factors

Garcia, René; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 1999

summarize their dynamics. In beta pricing models, it is often said that only the factorial risk is compensated since the … remaining idiosyncratic risk is diversifiable. Implicitly, this argument can be interpreted as a conditional cross …

Persistent link: https://www.econbiz.de/10005101123