In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state variables. These latent variables can capture...

Latent variable models in finance originate both from asset pricing theory and time series analysis. These two strands of literature appeal to two different concepts of latent structures, which are both useful to reduce the dimension of a statistical model specified for a multivariate time...

This paper generalizes the Bollerslev and Zhang (2003) approach for the estimation of loadings of asset pricing models using "realized" measures and co-measures of risk. We propose here to extend this approach by including higher-moments in asset pricing models. Estimations are conducted using...

The price of an option should reflect the average value that a buyer receives for it, and also a risk premium. This report describes an empirical study for analysing these factors as a graphical and quantitative manner. The analysis focuses on the average difference between the price option and...

The analysis of seasonality in economics and the development of new seasonal adjustment procedures have been following new directions in the last twenty years. We study this question through the work performed at the Banque de France (Monetary Statistic and Studies Directorate) to compile new...

This manual provides a comprehensive overview of Vector Autoregression (VAR) models using EViews. It covers key concepts, practical applications, and step-by-step guidance on implementing VAR modeling. The aim is to equip researchers and practitioners with the tools necessary to analyze time...

This paper presents a comparison of econometric models used for economic forecasting, focusing on Madagascar’s Gross Domestic Product (GDP). The models analyzed include OLS, ARIMA, ARIMAX and VAR, each with its advantages and limitations. The OLS model is selected for its robust performance...

The paper aims to test the Marshall-Lerner-Robinson condition by using the unit-root test of Ng-Perron (2001) and the cointegration test of Perron-Rodriguez (2001). These tests are based on procedures for removing the trend using the GLS, leading to remove no-stochastic components. By examining...

This work aims at analysing the dynamics of macroeconomic fluctuations in Cameroon, using a semi-structural VAR to determine the sources of its macroeconomic fluctuations. The results obtained point out that the macroeconomic fluctuations in Cameroon, even though influenced by external shocks,...