The recent experience from the global financial crisis has raised serious questions about the accuracy of standard risk measures as a tool to quantify extreme downward risks. These standard risk measures, such as the VaR, emerge over the last decades as the industry standard for risk management...

[eng] Pricing new economy companies by real options : dizziness and dispute of an analogy. The pricing of the « New Economy » firms is complex and perilous because the traditional valuation models are inefficient when valuing firms with no positive earnings, no long history of performance, no...

Les récents épisodes de turbulence financière sont venus remettre en cause la précision des mesures classiques de risque pour évaluer les risques extrêmes. Ces mesures de risques, telles que la VaR, sont devenues incontournables dans la gestion des risques et l'allocation d'actifs (Basak...

The forecasting literature has identified three important and broad issues: the predictive content is unstable over time, in-sample and out-of-sample discordant results and the problematic statistical inference with highly persistent predictors. In this paper, we simultaneously address these...

The recent experience from the global financial crisis has raised serious questions about the accuracy of standard risk measures as a tool to quantify extreme downward risks. These standard risk measures, such as the var, emerge over the last decades as the industry standard for risk management...

From the model of Hobijn and Jovanovic (2001), we modelize a technological shock with uncertainty. We assume that this technological shock appears in the shape of new firms. Only a part of these firms will be productive. Uncertainty relates to the identification of the viable firms. This...

Using annual and quarterly data since 1952, we estimate a fundamentals- based empirical model for the earning-price ratio of US stocks. The key fundamental-variable is a time-varying discount rate, decomposed into a time-varying measure for the real interest rate and the equity risk premium....