In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which take into account moste of the usual features of financial data (non-stationarity,...

In this paper, we study the reward-to-risk ratio, using monthly euro-dollar, euro-mark and euro-franc term structures between 1975 and 1997. We test the relationship between excess holding return and volatility in an ARCH-in-Mean framework. We first obtain that the conditional volatility...

Building on work about stock markets in industrialized countries, we analyze volatility of stock returns in South-East Asia using the ARCH methodology. Our goal is to highlight specific features of Asian stock market, concerning the statistical properties of returns as well as the volatility...

In this paper, we evaluate the information content of the yield curve as regards future interest rates and inflation in France and Germany. An original data set of long-term zero-coupon interest rates for French and German government bonds was constructed for the period 1980-97. Empirical...

Swaps are one of the major innovations of the 80s but there are little empirical studies on interest rates swaps (IRS), especially on US and European markets. To understand how swap pricing works, we estimate IRS valuation models for the US, German and French swap markets. On one hand, we derive...

For central banks, institutional, and individual investors, it is crucial to understand the frequency and importance of drops or sudden rises in financial markets. Extreme value theory (EVT) is an interesting tool providing answers to questions such as: With what frequency do we find variations...

Correlations between international equity markets are often claimed to increase during periods of high volatility, therefore the benefits of international diversification are reduced when they are most needed, i.e. during crises. In this paper, we investigate the relationship between...

Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations they are also important for Value-at-Risk measurements. Our framework builds on a GARCH model with a condi-tional...

In this paper, we estimate two small, forward-looking, macroeconomic models for the US and Germany and we compare the implied optimal monetary policy rules. Both models have a standard structure: an I-S curve, a Phillips curve, a short term interest-rate rule and a long term interest rate...

The entropy principle yields, for a given set of moments, a density that involves the smallest amount of prior information,. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a potential. Next, for the case where the first four moments...