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Leverage vs. Feedback: Which Effect Drives the Oil Market?

Aboura, Sofiane; Chevallier, Julien - HAL - 2012

This article brings new insights on the role played by (implied) volatility on the WTI crude oil spot price. An increase in the volatility subsequent to an increase in the oil price (i.e. inverse leverage effect) remains the dominant effect as it might reflect the fear of oil consumers to face...

Persistent link: https://www.econbiz.de/10010559437

The persistence of firms' knowledge base: a quantile approach to Italian data

Colombelli, Alessandra; Quatraro, Francesco - HAL - 2014

investigated their patterns of persistence over time. The empirical analysis is implemented by exploring the autocorrelation …

Persistent link: https://www.econbiz.de/10010933797

The persistence of firms' knowledge base: A quantile approach to Italian data

Colombelli, Alessandra; Quatraro, Francesco - HAL - 2013

investigated their patterns of persistence over time. The empirical analysis is implemented by exploring the autocorrelation …

Persistent link: https://www.econbiz.de/10011026232

Testing for Spatial Autocorrelation in a Fixed Effects Panel Data Model

Debarsy, Nicolas; Ertur, Cem - HAL - 2009

spatial autocorrelation in a fixed effectspanel data model. These tests allow discriminating between the two main typesof … spatial autocorrelation which are relevant in empirical applications, namelyendogenous spatial lag versus spatially … spatial autocorrelation whatever its type. Hence, it indicates whetherspecific econometric estimation methods should be …

Persistent link: https://www.econbiz.de/10008789245

Towards a new viewpoint on causality for time series

Fliess, Michel; Join, Cédric - HAL - 2014

Causation between time series is a most important topic in econometrics, financial engineering, biological and psychological sciences, and many other fields. A new setting is introduced for examining this rather abstract concept. The corresponding calculations, which are much easier than those...

Persistent link: https://www.econbiz.de/10010899129

Is Public Capital Really Productive? A Methodological Reappraisal

Hurlin, Christophe; Minea, Alexandru - HAL - 2012

We present an evaluation of the main empirical approaches used in the literature to estimate the contribution of public capital stock to growth and private factors' productivity. Based on a simple stochastic general equilibrium model, built as to reproduce the main long-run relations observed in...

Persistent link: https://www.econbiz.de/10010899289

What drives Health Care Expenditure in France since 1950?

Barnay, Thomas; Damette, Olivier - HAL - 2012

Using the French annual database (1950-2009), we conducted a time-series analysis to explain the role of GDP per capita on HCE (Health Care Expenditure) per capita taking into account structural breaks and non-linearity in the long-term economic relationship between HCE and GDP, controlling for...

Persistent link: https://www.econbiz.de/10010899827

Comparing variable selection techniques for linear regression: LASSO and Autometrics

Epprecht, Camila; Guegan, Dominique; Veiga, Álvaro - HAL - 2013

In this paper, we compare two different variable selection approaches for linear regression models: Autometrics (automatic general-to-specific selection) and LASSO (ℓ1-norm regularization). In a simulation study, we show the performance of the methods considering the predictive power (forecast...

Persistent link: https://www.econbiz.de/10011025644

Guegan, Dominique; Hassani, Bertrand - HAL - 2012

The Advanced Measurement Approach requires financial institutions to develop internal models to evaluate their capital charges. Traditionally, the Loss Distribution Approach (LDA) is used mixing frequencies and severities to build a Loss Distribution Function (LDF). This distribution represents...

Persistent link: https://www.econbiz.de/10011025821

Preliminary remarks on option pricing and dynamic hedging

Fliess, Michel; Join, Cédric - HAL - 2012

An elementary arbitrage principle and the existence of trends in financial time series, which is based on a theorem published in 1995 by P. Cartier and Y. Perrin, lead to a new understanding of option pricing and dynamic hedging. Intricate problems related to violent behaviors of the underlying,...

Persistent link: https://www.econbiz.de/10010551681