Calibrage économétrique de processus stochastiques avec applications aux données boursières, bancaires et cambiales canadiennes

In this paper, we show how to calibrate the most usual stochastic processes: arithmetic and geometric Brownian motions,, mean-reverting processes and jump processes. This paper contains also many applications to Canadian financial data. We observe, among other phenomena, that a mean-reverting process is very appropriate to estimate the return on assets of the six biggest Canadian banks. Finally, we estimate a monofactorial model of interest rate.

MoreLess

Year of publication:	2005-07-13
Authors:	Racicot, Francois-Éric ; Théoret, Raymond
Institutions:	Départment des sciences administratives, Université du Québec en Outaouais (UQO)
Subject:	Stochastic processes \| financial econometrics \| banks \| derivatives \| financial engineering

More details

Extent:	application/pdf
Series:	RePAd Working Paper Series.
Type of publication:	Book / Working Paper
Language:	French
Notes:	Number UQO-DSA-wp0292005 31 pages
Classification:	G11 - Portfolio Choice ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005773129