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Maillet, Bertrand; Médecin, Jean-Philippe; Michel, Thierry - HAL - 2009

We present several estimates of measures of risk amongst the most well-known, using both high and low frequency data. The aim of the article is to show which lower frequency measures can be an acceptable substitute to the high precision measures, when transaction data is unavailable for a long...

Persistent link: https://www.econbiz.de/10010738652

A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies

Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - HAL - 2014

"Constant proportion portfolio insurance" (CPPI) is nowadays one of the most popular techniques for portfolio insurance strategies. It simply consists of reallocating the risky part of a portfolio with respect to market conditions, via a leverage parameter - called the multiple - guaranteeing a...

Persistent link: https://www.econbiz.de/10010899414

Forecasting electricity spot market prices with a k-factor GIGARCH process

Diongue, Abdou Kâ; Guegan, Dominique; Vignal, Bertrand - HAL - 2009

In this article, we investigate conditional mean and variance forecasts using a dynamic model following a k-factor GIGARCH process. We are particularly interested in calculating the conditional variance of the prediction error. We apply this method to electricity prices and test spot prices...

Persistent link: https://www.econbiz.de/10010738481

Forecasting electricity spot market prices with a k-factor GIGARCH process

Diongue, Abdou Kâ; Guegan, Dominique; Vignal, Bertrand - HAL - 2007

Persistent link: https://www.econbiz.de/10010738662

tail behavior of a threshold autoregressive stochastic volatility model

Diop, Aliou; Guegan, Dominique - HAL - 2005

We consider a threshold autoregressive stochastic volatility model where the driving noises are sequences of iid …

Persistent link: https://www.econbiz.de/10008790909

Threshold Value: how binding thresholds affect the outcome of a negotiation

Thoron, Sylvie - HAL - 2010

can only be realized if a certain threshold is reached. Thresholds can be of different forms such as a certain number of … given game and a given threshold. It is derived from a decomposition of the Shapley value. …

Persistent link: https://www.econbiz.de/10008793430

Comment se positionner en tant que client préférentiel auprès de ses principaux fournisseurs sur la famille d'achats des composants électroniques LEDs ?

Coste, Richard - HAL - 2013

Ce mémoire a pour objectif de définir une démarche permettant à toute entreprise de se positionner en tant que client préférentiel auprès de ses fournisseurs. Cette notion de client préférentiel fut durant de nombreuses années étudiée de façon unilatérale par une approche marketing...

Persistent link: https://www.econbiz.de/10010820407

The dynamics of coordination in innovation networks

Gardet, Elodie; Mothe, Caroline - HAL - 2011

facilitate hub firm dependence. Moreover, the coordination modes and the use of hard conflict resolution mechanisms vary with the …

Persistent link: https://www.econbiz.de/10010736425

Long term care insurance puzzle

Pestieau, Pierre; Ponthière, Grégory - HAL - 2010

conduct given the high probability of dependence and the high costs of long term care. For that purpose, we survey various …

Persistent link: https://www.econbiz.de/10010738706

SME dependence and coordination in innovation networks

Gardet, Elodie; Mothe, Caroline - HAL - 2012

that are in a situation of dependence with respect to other members of their network, taking into account the influence of … implemented vary depending on the hub firm's degree of dependence; trust and recourse to formal agreements differ according to hub … firm size; and conflict solving is influenced by both hub firm size and degree of dependence. Practical implications …

Persistent link: https://www.econbiz.de/10010721965