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Bouleau, Nicolas - HAL - 2012

The aim of this article is to use probabilistic ideas to study predictive reasoning based on hypotheses and models, but without using Ito calculus, without writing any stochastic differential equations, in fact without writing any formulas at all. The aim is to extract from the study of...

Persistent link: https://www.econbiz.de/10010899270

Chaos in economics and finance

Guegan, Dominique - HAL - 2007

In this article, we specify the different approaches followed by the economists and the financial economists in order to use chaos theory. We explain the main difference using this theory with other research domains like the mathematics and the physics. Finally, we present tools necessary for...

Persistent link: https://www.econbiz.de/10010738474

Chaos in Economics and Finance

Guegan, Dominique - HAL - 2009

This paper focuses on the use of dynamical chaotic systems in Economics and Finance. In these fields, researchers employ different methods from those taken by mathematicians and physicists. We discuss this point. Then, we present statistical tools and problems which are innovative and can be...

Persistent link: https://www.econbiz.de/10010738625

A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates

Guegan, Dominique - HAL - 2003

We investigate some statistical properties of the new k-factor Gegenbauer process with heteroscedastic noises One of the goals of the paper is to give tools which permit to use this model to explain the behaviour of certain data sets in finance and in macroeconomics. Monte Carlo experiments are...

Persistent link: https://www.econbiz.de/10008788958

Dependence modelling of the joint extremes in a portfolio using Archimedean copulas : application to MSCI indices

Guegan, Dominique; Ladoucette, Sophie A. - HAL - 2005

Using Archimedean copulas, we investigate the dependence structure existing between several series of financial assets log-returns that come from different markets. These series are considered as components of a portfolio and they are investigated on a long period including high shocks. To...

Persistent link: https://www.econbiz.de/10008791451

A k- factor GIGARCH process : estimation and application to electricity market spot prices,

Guegan, Dominique; Diongue, Abdou Kâ; Vignal, Bertrand - HAL - 2004

Some crucial time series of market data, such as electricity spot prices, exhibit long memory, in the sense of slowly-decaying correlations combined with heteroscedasticity. To e able to model such a behaviour, we consider the k-factor GIGARCH process and we propose two methods to address the...

Persistent link: https://www.econbiz.de/10008792746

Estimating parameters for a k-GIGARCH process

Diongue, Abdou Kâ; Guegan, Dominique - HAL - 2004

Persistent link: https://www.econbiz.de/10008793109

Convergent trends in aggregate and firm volatility

Pollack, Joseph Richard - HAL - 2013

This article unearths the determinants of the volatility of aggregate and firm-level production proxied by output and … volatility. Similarly to their conclusions, I establish that firm volatility is not driven by a compositional bias in my sample …-level and aggregate level volatility due in part to the 2007 financial crisis. …

Persistent link: https://www.econbiz.de/10010820876

Is a public regulation of food price volatility feasible in Africa? An arch approach in Kenya

D'Hôtel, Elodie Maître; Cotty, Tristan Le; Jayne, Thomas - HAL - 2012

instruments to manage food price volatility. Many developing countries recently pursued price regulation policies, but the … policy to lower food price volatility does not depend on the nature of the policy instrument only, but also on the … be key factor influencing the degree of price volatility. Applied to trade policies, this consistency is defined by the …

Persistent link: https://www.econbiz.de/10010821035

High-End Variety Exporters Defying Distance : Micro Facts and Macroeconomic Implications

Martin, Julien; Mayneris, Florian - HAL - 2013

-end varieties has two macroeconomic implications for countries. First, the sources of a country's aggregate exports volatility are …-speci c demand shocks, and thus their volatility on a given market. However, their lower sensitivity to distance allows for a … greater geographic diversi cation of their exports, which in turn reduces aggregate volatility through a portfolio e ect …

Persistent link: https://www.econbiz.de/10010821212