In this paper, we apply a collection of parametric (Normal, Normal GARCH, Student GARCH, RiskMetrics and high-frequency duration models) and non-parametric (empirical quantile, extreme distributions models) Value-at-Risk (VaR) techniques to intraday data for three stocks traded on the New York...

The paper proposes an original class of conditionally heteroskedastic models aimed to capture a new concept of asymmetry. Not only past up and down moves of stock market returns have different impacts on the conditional variance, but also, positive and negative changes are governed by different...

This paper tests a traditional model of asset pricing, the CCAPM (Consumption Capital Asset Pricing Model), using data from the Spanish stock market. A generalized calibration method is used to test this model. This method allows us to judge the degree of correspondance between the population...

This paper studies a classical extension of the Black and Scholes model of option pricing, often known as the Hull and White model. Our specificity is that the volatility process is assumed not only to be stochastic, but also to have long memory features and properties. We study here the...

This paper, prepared for the Invited Symposium "Financial Econometrics" at the 7th WCES, Tokyo, August 1995, surveys the subject of Econometrics of option pricing, and more precisely try to offer versatile tools to model the source of the prediction errors in option pricing.

Existing models of corporate "short-termism" rely on an exogenously imposed, suboptimal management objective function. This paper endogenizes both managers' concern for short-term stock prices and the resulting distorsions. We consider a standard agency problem between corporate managers and...

In this paper we show how the order of Linear Stochastic Dominance proposed by Gollier (1995) can be applied to situations with dependent risky assets.

We analyse high-frequency data by means of the duration between successive ticks and volume of capital durations. It allows to introduce trading activity and coactivity measures, which may or may not also be volume weighted. Some applications on particular stocks of the PAris Bourse are provided.

We consider whether the introduction of the psychological concept of loss aversion into agents' preferences could generate a macroeconomic model in which changes in the money supply can have real, persistent effects. It is demonstrated that the macroeconomic implications of loss aversion depend...