This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...

This paper examines continuous-time models for the price and volatility processes of individual stocks and the S\amp;P 100 index via Markov Chain Monte Carlo estimation. We find that the stochastic processes governing individual stocks are rather heterogeneous. A key result of our investigation...

After the crisis of 2008 that affected the United States, financial analysts began to see stock markets with low confidence due to the lack of fidelity of deterministic models in general. Statistical methods, which use past information to predict the future have always been used. It is a fact...

We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...

The transition to electric vehicles would be a great improvement for the population. On the other hand, this transition will make a great pressure for companies in the automotive industry, since they would have to develop such vehicles and make them better than traditional ones. Moreover, the...

We propose a technique to avoid spurious detections of jumps in high-frequency data via an explicit thresholding on available test statistics. We prove that it eliminates asymptotically all spurious detections. Monte Carlo results show that it performs also well in finite samples. In Dow Jones...

This article will focus on the research for the strategic allocation of reserve fund of the Moroccan pension scheme in order to ensure and improve its solvency. The first aim of this paper is to construct and test an Economic Scenario Generator (ESG) based on a model inspired of the Ahlgrim...

This article will focus on the research for the strategic allocation of reserve fund of the Moroccan pension scheme in order to ensure and improve its solvency. The first aim of this paper is to construct and test an Economic Scenario Generator (ESG) based on a model inspired of the Ahlgrim...