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L'impact des signaux de politique monétaire sur la rentabilité et la volatilité des actions du CAC 40
Belgacem, Aymen - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2008
In this paper, we investigate the impact of surprises made by scheduled monetary policy announcements on French stock market. Most of empirical studies achieved tends to test this effect on U.S stock market. Taken the French market as a representative European stock markets, we study the effect...
Persistent link: https://www.econbiz.de/10005094012
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Les spams boursiers : Etude empirique sur le marché des penny stocks
BOURAOUI, Taoufik - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2008
evolution of volatility over time through a GARCH (1,1) modelling. We use the methodology of event studies on a sample of …
Persistent link: https://www.econbiz.de/10005170013
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On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting
Chevallier, Julien; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009
. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts …
Persistent link: https://www.econbiz.de/10005078954
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Options introduction and volatility in the EU ETS
Chevallier, Julien; Pen, Yannick Le; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009
instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …
Persistent link: https://www.econbiz.de/10008479209