This paper investigates the causality between prices and index-based trading activity for twelve grain, livestock, and other soft commodity futures markets. We use panel Granger causality estimations based on SUR systems and Wald tests with market-specific bootstrap critical values. This...

This paper investigates the causality between prices and index-based trading activity for twelve grain, livestock, and other soft commodity futures markets. We use panel Granger causality estimations based on SUR systems and Wald tests with market-specific bootstrap critical values in order to...

According to the dividend discount model (DDM), a long run relationship should exist between stock prices and dividends. In this study, in order to test the validity of the DDM on the French, German, Japanese, UK and US stock markets from 1973 to 2002, cointegration tests corrected for skewness...

L'objectif de cet article est de verifier s'il est possible d'ameliorer l'evaluation des options sur indice CAC 40 grace a une meilleure estimation des parametres d'asymetrie et d'aplatissement de la fonction de distribution de l'actif sous-jacent.

L'objet de cet article est de tester la presence de causalite lineaire et non-lineaire au sens de Granger entre l'indice CAC 40 et les options sur indice en 1997 et 1998. Nos resultats indiquent que le marche au comptant precede le marche des options de 20 a 30 minutes, signe que le MONEP n'est...

This paper proposes a quantitative assessment of the interaction between the Gross Domestic Product (GDP) per capita and the unemployment rate, and permanent immigration in France over the period 1994-2008. It uses a new database where immigration is measured by the flow of issuing residence...

This paper quantitatively assesses the interaction between permanent immigration into France and France's macroeconomic performance as seen through its GDP per capita and its unemployment rate. It takes advantage of a new database where immigration is measured by the flow of newly-issued...

This paper quantitatively assesses the interaction between permanent immigration into France and France's macroeconomic performance as seen through its GDP per capita and its unemployment rate. It takes advantage of a new database where immigration is measured by the ow of newly-issued long-term...

This paper quantitatively assesses the interaction between permanent immigration into France and France's macroeconomic performance as seen through its GDP per capita and its unemployment rate. It takes advantage of a new database where immigration is measured by the flow of newly- issued...

This paper investigates the causality between remittances and financial sector development in Sub-Saharan African (SSA) countries. To this end, we employ the panel Granger causality testing approach that is based on Seemingly Unrelated Regressions (SUR) multivariate systems and Wald tests with...