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Charpentier, Arthur; Villa, Christophe - HAL - 2010

answers at these two problems and proposes a general two-steps procedure. The rst step relies on tting the discount bond …

Persistent link: https://www.econbiz.de/10008793692

Financial Markets Equilibrium with Heterogeneous Agents

Cvitanic, Jaksa; Jouini, Elyès; Malamud, Semyon; Napp, … - HAL - 2012

market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility as well as …

Persistent link: https://www.econbiz.de/10009360288

Incomplete markets, liquidation risk and the term structure of interest rates

Challe, Edouard; Grand, François Le; Ragot, Xavier - HAL - 2007

heterogeneity (despite market incompleteness), which allows us to derive analytical expressions for bond prices and returns at any … maturity. The desirability of bonds as liquidity makes the aggregate bond demand downward-sloping. One consequence of this is … that a larger bond supply raises both the level and the slope of the yield curve. …

Persistent link: https://www.econbiz.de/10010738818

Incomplete markets, liquidation risk, and the term structure of interest rates

Challe, Edouard; Grand, François Le; Ragot, Xavier - HAL - 2013

constraint, and positive net supply of government bonds. Uninsured idiosyncratic shocks generate bond trades, while aggregate … that a greater bond supply raises the level of the yield curve, while an increase in the relative supply of long bonds …

Persistent link: https://www.econbiz.de/10010739059

Category-based Tail Comovement

Charpentier, Arthur; Galariotis, Emilios; Villa, Christophe - HAL - 2009

Traditional financial theory predicts that comovement in asset returns is due to fundamentals. An alternative view is that of Barberis and Shleifer (2003) and Bar- beris, Shleifer and Wurgler (2005) who propose a sentiment based theory of comovement, delinking it from fundamentals. In their...

Persistent link: https://www.econbiz.de/10008793727

No-arbitrage macroeconomic determinants of the yield curve

Bikbov, Ruslan; Chernov, Mikhail - HAL - 2010

No-arbitrage macro-finance models use variance decompositions to gauge the extent of association between the macro variables and yields. We show that results generated by this approach are sensitive to the order of variables in the recursive identification scheme. In a four-factor model, one may...

Persistent link: https://www.econbiz.de/10010774284

No-arbitrage macroeconomic determinants of the yield curve

Bikbov, Ruslan; Chernov, Mikhail - HAL - 2010

Persistent link: https://www.econbiz.de/10010570527

Continuous time regime switching model applied to foreign exchange rate.

Goutte, Stéphane; Zou, Benteng - HAL - 2012

Modified Cox-Ingersoll-Ross model is employed, combining with Hamilton (1989) type Markov regime switching framework, to study foreign exchange rates, where all parameter values depend on the value of a continuous time Markov chain. Basing on real data of some foreign exchange rates, the...

Persistent link: https://www.econbiz.de/10009422114

Should vocational education be taxed? Lessons from a matching model with generalists and specialists

Cerdan, Ophélie; Decreuse, Bruno - HAL - 2011

Should education become more vocational or more general? We address this question in two steps. We first build and solve a two-sector matching model with generalists and specialists. Generalists pursue jobs in both sectors; however, they come second in job queues. Specialists seek for jobs in a...

Persistent link: https://www.econbiz.de/10008877005

Cross-currency smile calibration

Turinici, Gabriel; Laillat, Marc - HAL - 2009

We document the numerical aspects of the calibration of cross-currency options on the local volatility framework. We …

Persistent link: https://www.econbiz.de/10008789152