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Football and Stock Market : An analysis of the volatility around the sporting...
This study investigates the relationship between Football and stock market by analyzing the volatility around the sporting result announces. The theoretical background... -
Multifractal Volatility: Theory, Forecasting and Pricing
Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and... -
Yield to maturity modelling and a Monte Carlo Technique for pricing Derivativ...
This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of... -
Fire Sales Forensics: Measuring Endogenous Risk
We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset returns in a multi-asset setting. Our results... -
Preliminary remarks on option pricing and dynamic hedging
International audience -
Aggregation of exponential smoothing processes with an application to portfol...
International audience -
LIMITS TO GROWTH AND STOCHASTICS
International audience -
Bank stock volatility, news and asymmetric information in banking: an empiric...
International audience -
Is a public regulation of food price volatility feasible in Africa? An arch a...
International audience -
Systematic and multifactor risk models revisited
International audience -
Trade Effects of Exchange Rates and their Volatility: Chile and New Zealand
Trade deficits and surpluses are sometimes attributed to intentionally low or high exchange rate levels. The impact of exchange rate levels on trade has been much debated but... -
The Impact of the French Securities Transaction Tax on Market Liquidity and V...
Voir aussi l'article basé sur ce document de travail paru dans "International Review of Financial Analysis, 2016, 47, pp. 166-178 -
Trade Policy Inconsistency and Maize Price Volatility: An ARCH Approach in Kenya
International audience -
Does the Great Recession imply the end of the Great Moderation? International...
After years of low macroeconomic volatility since the early eighties, well documented and referred to as the Great Moderation period in the literature, the 2008-2009... -
High-End Variety Exporters Defying Distance : Micro Facts and Macroeconomic I...
We develop a new methodology to identify high-end variety exporters in French fi rm level data. We show that they do not export to many more countries, but they export... -
EXCHANGE RATE POLICY AND PRODUCTIVITY
This dissertation investigates how the real effective exchange rate (REER) and its associated measurements (REER volatility and REER misalignment) affect total factor... -
Alternative management strategies, market liquidity and excess volatility
This PH.D thesis focuses on the contribution of sophisticated investors, i.e. hedge funds, in the dynamics of financial markets. Considering that they are key players...
