International Symposia in Economic Theory and Econometrics Volume 20 NONLINEAR MODELING OF ECONOMIC AND FINANCIAL TIME-SERIES EDITED BY FREDJ JAW ADI Universite d'Evry Val d'Essonne & Amiens School of Management, ...

This paper develops a new empirical measure of the S&P fundamental value under the rational expectation hypothesis. Thus, using the linearization of Campbell and Shiller (1988) and referring to the developments of Challe (2002), we extend the Dividend Discount Model (DDM) by introducing...

We assess the relationship between trade fragmentation in equity markets and the structure of volatility networks following the volatility-of-volatility (VoV) approach. Volatility networks offer an original method for measuring the common component of volatilities. We show that market...