[fre] Les politiques monétaires au sein du SME, . par Patrick Jacq, Eric Jondeau, Frank Sédillot. . . Les contraintes imposées par le SME et les perspectives de l 'union européenne ont permis une convergence spectaculaire des taux d'intérêt de l'ensemble des pays membres. Cette convergence...

[eng] The Sustainability of Budget Policy, . by Eric Jondeau.. . The hypothesis of the sustainability of French budget policy, according to which there is a long-term relationship between receipts and expenses, is tested and rejected. The reason for this is probably the change in the...

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 conditional...

Designing an investment strategy in transition economies is a difficult task because stock-markets opened through time, time series are short, and there is little guidance how to obtain expected returns and covariance matrices necessary for mean-variance portfolio allocation. Also, structural...