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Estimation de densité conditionnelle lorsque l'hypothèse de normalité est insatisfaisante

Carreau, Julie; Bengio, Yoshua - Centre Interuniversitaire de Recherche en Analyse des … - 2004

We aim at modelling fat-tailed densities whose distributions are unknown but are potentially asymmetric. In this context, the standard normality assumption is not appropriate.In order to make as few distributional assumptions as possible, we use a non-parametric algorithm to model the center of...

Persistent link: https://www.econbiz.de/10005417570

Dynamic hedging strategies: An application to the crude oil market

Lautier, Delphine; Galli, Alain - Université Paris-Dauphine (Paris IX) - 2010

This article analyses long-term dynamic hedging strategies relying on term structure models of commodity prices and proposes a new way to calibrate the models which takes into account the errors associated to the hedge ratios. Different strategies, with maturities up to seven years, are tested...

Persistent link: https://www.econbiz.de/10010707938

An arbitrage-free interest rate model consistent with economic constraints for Long-Term Asset Liability Management

Vialas, Christine; Touzi, Nizar; Aïd, René - Université Paris-Dauphine (Paris IX) - 2012

This paper proposes an Heath-Jarrow-Morton model of the yield curve that can fit the particular requirements of long-term asset and liability management (ALM). In particular, the proposed HJM model can reproduce expected long-term statistical properties of any two interest rates, while still...

Persistent link: https://www.econbiz.de/10011071875

Dynamic Hedging Strategies: An Application to the Crude Oil Market

Lautier, Delphine; Galli, Alain - Université Paris-Dauphine (Paris IX) - 2010

This article analyzes long-term dynamic hedging strategies relying on term structure models of commodity prices and proposes a new way to calibrate the models which takes into account the error associated with the hedge ratios. Different strategies, with maturities up to seven years, are tested...

Persistent link: https://www.econbiz.de/10011166328

Understanding the Fine Structure of Electricity Prices

Geman, Hélyette; Roncoroni, Andréa - Université Paris-Dauphine (Paris IX) - 2006

This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...

Persistent link: https://www.econbiz.de/10011166403

Control-theoretic framework for a quasi-Newton local volatility surface inversion

Turinici, Gabriel - Université Paris-Dauphine (Paris IX) - 2008

We investigate in this paper the recovery of the local volatility surface in a parametric framework similar to that of Coleman, Li and Verma [4]. The quality of a surface is assessed through a functional which is optimized; the specificity of the approach is to separate the optimization on the...

Persistent link: https://www.econbiz.de/10010905049

Calibration and Resolution Diagnostics for Bank of England Density Forecasts

Galbraith, John; Norden, Simon van - Centre Interuniversitaire de Recherche en Analyse des … - 2009

target inflation rate and 2.5% respectively.) Unlike earlier work on these forecasts, we measure both their calibration and … prévisions, nous gaugeons leur calibration aussi bien que leur résolution, en donnant des tests formels et des interprétations …

Persistent link: https://www.econbiz.de/10005034429

The Calibration of Probabilistic Economic Forecasts

Galbraith, John; Norden, Simon van - Centre Interuniversitaire de Recherche en Analyse des … - 2008

interesting feature of such forecasts is their calibration, or the match between predicted probabilities and actual outcome … probabilities. Calibration has been evaluated in the past by grouping probability forecasts into discrete categories. Here we show … calibration error in a number of economic applications including recession and inflation prediction, using both forecasts made and …

Persistent link: https://www.econbiz.de/10005100636

Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models

Dufour, Jean-Marie; Touhami, Abdelkhalek - Centre Interuniversitaire de Recherche en Analyse des … - 2000

We consider the problem of assessing the uncertainty of calibrated parameters in computable general equilibrium (CGE) models through the construction of confidence sets (or intervals) for these parameters. We study two different setups under which this can be done. The first one extends earlier...

Persistent link: https://www.econbiz.de/10005100806

Trading Volume, Price Autocorrelation and Volatility under Proportional Transaction Costs

Hua, Cheng - Université Paris-Dauphine (Paris IX) - 2006

fundamental value which cannot be inferred from the equilibrium price. Secondly, price autocorrelation can be generated only by …

Persistent link: https://www.econbiz.de/10010708652