Selon certains analystes financiers, l'issue du Super Bowl aurait un contenu prédictif de la variation du marché US. Dans cette étude, nous remettons en question la conclusion de Krueger et Kennedy (1990) : il n'y aurait pas de corrélation entre les indices boursiers américains et l'issue...

This article applies a two-step conditional Bayesian approach to hedge fund risk. First, a mixture or-two normal distributions is estimated for a core asset; one distribution being identified as linked to a "quiet" regime and the other to a "hectic" regime. The conditional probabilities of each...

Minimum variance and equally-weighted portfolios have recently prompted great interest both from academic researchers and market practitioners, as their construction does not rely on expected average returns and is therefore assumed to be robust. In this paper, we consider a related approach,...

The purpose of this paper is to analyze the impact of the Bank of Japan's official interventions on the JPY/USD parity during the period 1992-2003. The novelty of our approach is to combine two recent advances of the empirical literature on foreign exchange interventions: (i) drawing on...

This article advocates a systematic rebalancing process - Volatility-Driven Asset Allocation or VDAA - for dynamically managing the strategic asset allocation. The goal of the suggested algorithm is to adjust the asset exposures so as to reflect the assumptions investors used when determining...

Minimum variance and equally-weighted portfolios have recently prompted great interest both from academic researchers and market practitioners, as their construction does not rely on expected average returns and is therefore assumed to be robust. In this paper, we consider a related approach,...

This article applies a two-step conditional Bayesian approach to hedge fund risk. First, a mixture or-two normal distributions is estimated for a core asset; one distribution being identified as linked to a "quiet" regime and the other to a "hectic" regime. The conditional probabilities of each...

[fre] Salaires relatifs, commerce Nord-Sud et progrès technique. Un modèle stylisé d'équilibre général. . Afin d'expliquer les inégalités salariales croissantes dans la plupart des pays industrialisés, nous proposons dans cet article un modèle stylisé qui permet d'appréhender les...