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Pricing bivariate option under GARCH processes with time-varying copula

Zhang, Jing; Guegan, Dominique - HAL - 2008

Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen Stock Composite Indexes. Results show that the option prices obtained by the time-varying copula model …

Persistent link: https://www.econbiz.de/10010738655

Non-stationarity and meta-distribution

Guegan, Dominique - HAL - 2008

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...

Persistent link: https://www.econbiz.de/10010750362

Global and local stationary modelling in finance : theory and empirical evidence

Guegan, Dominique - HAL - 2007

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets coming from existence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. We study the problem caused by these non stationarities on the estimation of the sample autocorrelation...

Persistent link: https://www.econbiz.de/10010750670

Pricing bivariate option under GARCH processes with time-varying copula

Zhang, Jing; Guegan, Dominique - HAL - 2008

Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen stock composite indexes. Results show that the option prices obtained by the time-varying copula model …

Persistent link: https://www.econbiz.de/10010750766

Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market

Guegan, Dominique; Zhang, Jing - HAL - 2007

is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …

Persistent link: https://www.econbiz.de/10010750828

Empirical Projected Copula Process and Conditional Independence An Extended Version

Frattarolo, Lorenzo; Guegan, Dominique - HAL - 2013

Conditional dependence is expressed as a projection map in the trivariate copula space. The projected copula, its … sample counterpart and the related process are defined. The weak convergence of the projected copula process to a tight … centered Gaussian Process is obtained under weak assumptions on copula derivatives. …

Persistent link: https://www.econbiz.de/10011026052

Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations

Bu, Ruijun; Giet, Ludovic; Hadri, Kaddour; Lubrano, Michel - HAL - 2009

structure of the two rates using Patton (2006a) time-varying Symmetrised Joe-Clayton copula. We find evidence of asymmetric …

Persistent link: https://www.econbiz.de/10008793845

Operational risk: A Basel II++ step before Basel III

Guegan, Dominique; Hassani, Bertrand - HAL - 2011

Following Banking Committee on Banking Supervision, operational risk quantification is based on the Basel matrix which enables sorting incidents. In this paper, we deeply analyze these incidents and propose strategies for carrying out the supervisory guidelines proposed by the regulators. The...

Persistent link: https://www.econbiz.de/10010635043

Extreme values of random or chaotic discretization steps

Garcin, Matthieu; Guegan, Dominique - HAL - 2012

By sorting independent random variables and considering the difference between two consecutive order statistics, we get random variables, called steps or spacings, that are neither independent nor identically distributed. We characterize the probability distribution of the maximum value of these...

Persistent link: https://www.econbiz.de/10010635212

On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates

Truchis, Gilles De; Keddad, Benjamin - HAL - 2014

both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility … for the European and British exchange rates. Concerning the copula analysis, we conclude in favor of weak dependence when …

Persistent link: https://www.econbiz.de/10010933834