Change-point processes are one flexible approach to model long time series. We propose a method to uncover which model parameter truly vary when a change-point is detected. Given a set of breakpoints, we use a penalized likelihood approach to select the best set of parameters that changes over...

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to identify the more appropriate benchmarks for the analysed fund return. Then, we compute...

In this paper, our aim is to shed a new light on the analysis of REITs in the presence of time-varying exposures and errors-in-variables (EIV). From different multi-factor asset pricing models including the standard Fama-French-Carhart asset pricing model and the Pastor and Stambaugh model, we...

In this article our main objective is to study simultaneously the influence of three important risk factors on asset returns, namely the return on financial market (proxy for financial wealth), the consumption growth and the return on real estate wealth. The third factor has been surprisingly...

In this article we develop a parsimonious consumption-based model of the term structure of interest rates and test its implications for US monthly data from 1970:4 to 2013:1. Our main objective is to shed a new light on the term structure of subjective time preference rates. The empirical...

A very promising literature has been recently devoted to the modeling of ultra-high-frequency (UHF) data. The main problem encountered to measure volatility dynamics of high-frequency intra-daily data lies in the irregularity at which observations arrive. Engle and Russell (1998) have proposed a...

In this study we shed a new light on Amihud's illiquidity measure, used here as a relevant measure of consensus belief among investors about new information (Amihud, 2002). This paper demonstrates the relevance of this new approach/dimension in the context of M&A transactions. Using a large...

The main objective in this article is to shed new light on the term structure of subjective time preference rates using a conditional Consumption Capital Asset Pricing Model. Following Samuelson's (1937)'s suggestion, we analyze the concept of “time consistency”. More precisely, we challenge...