A very promising literature has been recently devoted to the modeling of ultra-high-frequency (UHF) data. Our first aim is to develop an empirical application of Autoregressive Conditional Duration GARCH models and the realized volatility to forecast future volatilities on irregularly spaced...

Monte Carlo simulation has an advantage upon the binomial tree as it can take into account the multidimensions of a problem. However it convergence speed is slower. In this article, we show how this method may be improved by various means: antithetic variables, control variates and low...

In this paper, we simulate portfolios which aim to insure the invested capital. The object of our simulations is the duplication of the cashflows of strategies based on options. We initially show how to duplicate the cash-flows of a call by using a leveraged portfolio of stocks. After, we...

This paper reviews the principal theories on disequilibrium, from Walras to Barro and Grossman. There is a certain tendency in most of these theories to consider equilibrium and disequilibrium as independent phenomenons: at the end of a disequilibrium period, equilibrium in the neoclassical...

This article proposes a model of the interest rate spread of the "caisses populaires" located in Quebec and of the Canadian chartered banks. There exists very few articles on this subject. It appears that institutional factors are the principal determinants of interest rate spreads of Canadian...

The fight against inflation is an imperative in both the Annual Report of the Bank of Canada for the year 1989 and in the Federal Budget of April 1990. In the opinion of the Bank of Canada, Canadian interest rates will not decrease as long as inflation seems to accelerate. And interest payments...

This paper revisits the impact of off-balance-sheet (OBS) activities on banks risk-return trade-off. Recent studies (e.g.,Stiroh and Rumble, 2006) show that increasing OBS activities does not necessarily yield straightforward diversification benefits for banks. However, introducing a risk...

This paper revisits the impact of off-balance-sheet (OBS) activities on banks risk-return trade-off. Recent studies (e.g., Stiroh and Rumble 2006) suggest that increasing OBS activities do not necessarily yield straightforward diversification benefits for banks. However, introducing a risk...