CART est une des rares techniques non parametriques permettant d'etablir une hierarchie des variables explicatives. Dans cet article nous decrivons le calcul de l'importance des variables a partir d'un arbre de regression et nous analysons un exemple de hierarchie de variables explicatives...

Apres avoir empiriquement mis en evidence l'instabilite des procedures CART de classification par arbre, nous presentons des methodes d'agregation de classificateurs obtenues a l'aide d'un reechantillonage de type bootstrap. Enfin, nous mettons en oeuvre ces procedures sur un probleme de...

L'objectif de cet article est de verifier s'il est possible d'ameliorer l'evaluation des options sur indice CAC 40 grace a une meilleure estimation des parametres d'asymetrie et d'aplatissement de la fonction de distribution de l'actif sous-jacent.

This research represents some thoughts on the accurate characterization of the stock market indexes trends in the conditions of the nonlinear capital flows at the stock exchanges in the global capital markets. We make our original research proposal that the nonlinear capital flows in the process...

Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption...

Nous etudions dans ce papier la relation entre le rendement et le risque pour les marches de taux sur l'euro-dollar, l'euro-mark et l'euro-franc, de 1975 a 1997. Nous testons la relation entre l'exces de rendement de portage et la volatilite a partir d'une modelisation ARCH-in-Mean.

We derive a class of composite estimators of small-area quantities that exploit spatial (distance-related) similarity. They are based on a distribution-free model for the areas, but the estimators are aimed to have optimal design-based properties. Composition is applied also to estimating some...

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...