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Empirical Projected Copula Process and Conditional Independence an Extended Version.

Frattarolo, Lorenzo; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2013

Conditional dependence is expressed as a projection map in the trivariate copula space. The projected copula, its … sample counterpart and the related process are defined. The weak convergence of the projected copula process to a tight … centered Gaussian Process is obtained under weak assumptions on copula derivatives. …

Persistent link: https://www.econbiz.de/10010703394

Extreme values of random or chaotic discretization steps.

Garcin, Matthieu; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012

By sorting independent random variables and considering the difference between two consecutive order statistics, we get random variables, called steps or spacings, that are neither independent nor identically distributed. We characterize the probability distribution of the maximum value of these...

Persistent link: https://www.econbiz.de/10010551753

Non-stationarity and meta-distribution.

Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...

Persistent link: https://www.econbiz.de/10005510618

Pricing bivariate option under GARCH processes with time-varying copula.

Zhang, Jing; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen stock composite indexes. Results show that the option prices obtained by the time-varying copula model …

Persistent link: https://www.econbiz.de/10005510619

Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market.

Guégan, Dominique; Zhang, Jing - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007

is used for innovations. As the association between the underlying assets may vary over time, the dynamic copula approach …-GH model with time-varying copula differ substantially from the prices implied by the GARCH-Gaussian dynamic copula model …

Persistent link: https://www.econbiz.de/10005670883

Global and local stationary modelling in finance : theory and empirical evidence.

Guégan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets coming from existence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. We study the problem caused by these non stationarities on the estimation of the sample autocorrelation...

Persistent link: https://www.econbiz.de/10005670891

Criminality spread: a "Boomerang effect" of public transport improvements?.

Bacares, Carlos Augusto Olarte - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014

The relationship between accessibility or the degree of improvement of urban transport and criminality has been underestimated and close to forgotten. This paper aims to reveal the importance of public transport policies in the evolution of crime configuration in a city. The hypothesis that the...

Persistent link: https://www.econbiz.de/10010752382

Joint Leisure Before and After Retirement: a double Regression Discontinuity Approach.

Stancanelli, Elena; Soest, Arthur Van - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012

The economic litterature on retirement argues that individuals in a couple tend to retire at a choice time because of externalities in leisure. Ealier studies dit not investigate the extent to which partners actually spend more leisure time together upon retiring. Exploiting the law on early...

Persistent link: https://www.econbiz.de/10010711863

Polish households' behavior in the regular and informal economies.

Gardes, François; Starzec, Christophe - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009

This paper analyzes characteristics of the informal economy in Poland in the context of transition, using a specific survey carried out in the framework of the classic Labour Force Survey, conducted by the Polish National Statistical office (GUS), in 1995. The participation probabilities of...

Persistent link: https://www.econbiz.de/10005012510

A note on fair value and illiquid markets.

Guegan, Dominique; Merhy, Chafic - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010

We present in this paper a method to extract fair prices from observable prices in an illiquid market. The dynamics of fair prices have a general form encompassing random walks. In fact, only a part of a movement in price is assumed to reflect fundamental changes, the rest is considered to be...

Persistent link: https://www.econbiz.de/10008622029