[eng] Impact of trading-halts on the microstructure French stock exchange market . The purpose of the regulated trading-halts on Stock exchange markets is to reduce asymmetries of information and volatility and to allow the emergence of a consensus. The use of these interruptions is very...

The standard macroeconomic view links the equilibrium level of foreign exchange rates to the state of the macroeconomic fundamentals. Any deviation from the equilibrium level is viewed as temporary since there are forces ensuring quickly mean-reverting dynamics. The aim of this article is to...

[eng] A Comparison of Expert Forecasts with BVAR Model Forecasts by Sandrine Lardic and Auguste Mpacko-Priso . This paper checks whether economic and financial experts forecast macroeconomic and financial variables «better» than alternative techniques and in particular the Bayesian method. The...

[fre] Cette étude d’événements sur la Bourse de Paris montre l’impact d’informations publiques sur les cours des entreprises émettrices. Les données utilisées sont intraquotidiennes et portent sur des titres du CAC 40 et du MIDCAC de janvier 1995 à décembre 1999. Deux tests non...

[eng] Fractional Cointegration Between Consumption and Income.. The purpose of this paper is to test the existence of a stable long-term relationship between consumption and income. To do so, we use the concept of fractional cointegration rather than the usual concept of cointegration. Standard...

[eng] Amulti-factorial model of credit spreads : estimation using complete and incomplete panels.. Credit risk is an important source of risk for most banks. While it has been inherent in their financial intermediation activity and identified for a long time, scientific methods for analysing and...

The purpose of this paper is to perform predictions of foreign exchange rates series by taking into account their long-term memory property. To this end, this paper proposes the use of ARFIMA processes in order to make predictions of three exchange rate series: $/Canadian $, $/French Franc and...

According to the expectations theory of the term structure of interest rates, the yield spread between long-term and short-term interest rates is an optimal predictor of future changes in short rates over the long-run. Results concerning the empirical validity of this hypothesis are not...

The exact maximum likelihood (EML) procedure can be used as a residual-based test of the hypothesis of no cointegration against the alternative of fractional cointegration. Since the corresponding asymptotic properties have not yet been established, this paper provides simulated critical values,...