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LIMITS TO GROWTH AND STOCHASTICS
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
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A multi-horizon scale for volatility
Subbotin, Alexander - HAL - 2008
We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic …
Persistent link: https://www.econbiz.de/10010750636
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Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance
Fliess, Michel; Join, Cédric - HAL - 2008
New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some … of the volatility with respect to the forecasted trendline, are provided. $\mathcal{Z}$-transform and differential …
Persistent link: https://www.econbiz.de/10008791958
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Long Memory Process in Asset Returns with Multivariate GARCH innovations
Mootamri, Imene - HAL - 2011
The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the volatility of a … …first conditional moment of US stock returns through multivariate ARFIMA process and the time-varying feature of volatility …
Persistent link: https://www.econbiz.de/10009644795
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Electricity, carbon and weather in France: where do we stand ?
Chemarin, Sophie; Heinen, Andreas; Strobl, Eric - HAL - 2008
that while there are own mean and own volatility spillovers in the two markets, there are no cross own mean and own … volatility spillovers, indicating that the electricity spot market and the carbon spot market are not integrated. Finally …
Persistent link: https://www.econbiz.de/10008793759
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Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model.
Charlot, Philippe; Marimoutou, Vêlayoudom - HAL - 2008
This paper presents a new multivariate GARCH model with time-varying conditional correlation structure which is a generalization of the Regime Switching Dynamic Correlation (RSDC) of Pelletier (2006). This model, which we name Hierarchical RSDC, is building with the hierarchical generalization...
Persistent link: https://www.econbiz.de/10008794823
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Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model (version révisée)
Charlot, Philippe; Marimoutou, Vêlayoudom - HAL - 2011
This paper presents a new multivariate GARCH model with time-varying conditional correlation structure, which is a special case of the Regime Switching Dynamic Correlation (RSDC) of Pelletier (2006). This model which we have named Hierarchical RSDC (HRSDC), has been built with the hierarchical...
Persistent link: https://www.econbiz.de/10009151637
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On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree
Charlot, Philippe; Marimoutou, Vêlayoudom - HAL - 2014
This study examines the volatility and correlation and their relationships among the euro/US dollar exchange rates, the … based on a binary decision tree and, it allows a probabilistic vision of the relationship between univariate volatility and … volatility and correlation are dependent upon the nature of the series considered, sometimes corresponding to those found in …
Persistent link: https://www.econbiz.de/10010899642
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Carbon Price Drivers: An Updated Literature Review
Chevallier, Julien - HAL - 2011
Since the creation of the European Union Emissions Trading Scheme (EU ETS) in 2005, a burgeoning academic literature has emerged to identify the factors that shape the price of carbon, where one European Union Allowance is equal to one ton of CO2-equivalent emitted in the atmosphere. Thus, there...
Persistent link: https://www.econbiz.de/10009004292
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Strategic complementarity of information acquisition in a financial market with discrete demand shocks
Chamley, Christophe - HAL - 2007
A simple model of financial market with rational learning and without friction is presented in which the value of private information increases with the mass of informed individuals, contrary to the property presented by Grossman and Stiglitz (1980). The key assumption is the possibility of...
Persistent link: https://www.econbiz.de/10010738989