The objective of this paper is to provide a complete framework to aggregate different quantile and expectile models for obtaining more diversified Value-at-Risk and Expected Shortfall measures, by applying the diversification principle to model risk. Following Taylor (2008) and Gouriéroux and...

This paper aim to study the impact of teacher status on the behaviour of Benin’s primary school teachers in the context of the growing expansion of the hiring of non civil servant teachers. To address this issue we estimate both negative binomial model and linear instrumental variable model to...

Ce papier presente une modelisation de l'indice des prix francais. L'objectif est de permettre une analyse rapide et detaillee des tendances de court terme de l'inflation ainsi que de realiser des previsions a intervalles rapproches. Les caracteristiques de cet outil sont les suivantes: un petit...

Nous proposons dans cet article un modèle théorique pour analyser les conséquences de la concurrence dans les réseaux dotés des systèmes technologiques différents. Nous nous inspirons du modèle de Demange-Ponssard (1986), en mettant l’accent sur l'incompatibilité des technologies...

This paper make an overview of the copula theory from a practical side. We consider different methods of copula estimation and different Goodness-of-Fit tests for model selection. In the GoF section we apply Kolmogorov-Smirnov and Cramer-von-Mises type tests and calculate power of these tests...

The article contributes to the literature on financial fragility, studying how macro-economic shocks affect supply and demand in the corporate debt market. We take into account the effect of the competitive environment, as well as the risk level, measured by companies' default rate. The model is...

The risk-return trade-off being the very substance of finance, volatility has always been an essential parameter for portfolio management. Moreover, the generalization of the use of derivatives has placed in the forefront the concept of volatility risk: i.e. the model risk generated by treating...

This paper focuses on agency theory to explain investment behavior difference between private domestic and foreign in Senegalese industry. We put domestic companies into two groups with regard to managerial ownership and institutional ownership. An augmented accelerator model with demand...