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Publications (89)
This paper empirically investigates the differences between the systematic risk estimated by OLS and it simultaneous estimation with a GARCH errors. The systematic risk of an asset is estimated by the beta coefficient of the market line. According to the OLS hypothesis, the estimators are robust and residuals are white noise process. However variou...
La Fenêtre Roulante Tempo-Fréquentielle qui réalise simultanément les décompositions discrètes en ondelettes des séries chronologiques d’un modèle de régression et son estimation, est un outil puissant ont l’utilisation est rendue possible grâce au progrès des logiciels de calculs. Dans l’étude que nous proposons, cette conjugaison permet l’étude d...
This paper focus on comparison between three wavelets methodologies to estimate a time–frequency varying parameter. In the discrete case, we oppose the intuitive application of the rolling regression on wavelets frequency bands to the time–frequency rolling window. We compare if we have to use the time rolling window directly on the wavelet’s frequ...
The systematic risk of an asset is estimated by the beta coefficient of the market line. According to the OLS hypothesis, the estimators are robust and residuals are white noise process. However various papers show the existence of numerous statictical anomalies (stylized facts) in resduals (heteroskedasticity, autocorrelation and non-normality) re...
The Beta coefficient theorized by the CAPM is estimated by the Market Line. By hypothesis, the Beta is stable over time but empirical studies on it volatility don't confirm this fact. One of them is related to with agent heterogeneity hypothesis. In this paper; we study this hypothesis by continuous wavelets decomposition of the market line compone...
The Rolling-Regression are currently used to study the parameters stability over time. In finance, we can analyse the time evolutions of systematic risk relaxing the constant-Beta hypothesis. This method can be associated with a wavelet decomposition of the variables in order to the parameters stability of frequency regression. Then, we compare con...
The market line estimation implicitly assumes that its parameters are constant
over time supposing whatever the investment horizon, the investors
have a similar behaviour. In this paper,we discuss this hypothesis using the
technique of wavelets. First, we verify the expected result concerning the
statistical weaknesses of market line and the high v...
The Beta coefficient theorized by the CAPM is estimated by the Market Line. By hypothesis, the Beta is stable over time but empirical studies on it volatility don't confirm this fact. One of them is related to with agent heterogeneity hypothesis. In this paper; we study this hypothesis by continuous wavelets decomposition of the market line compone...
The CAPM theory provides a measure of the sensitivity of an asset to the market called the systematic risk. The Beta of equity is estimated by its market line. According to the OLS hypothesis, it is stable over time but this is not empirically verified. Many studies are in favour with this fact (Unstable Beta), and more particularly the Beta disper...
This paper investigates the dynamics of hedge fund returns and their behavior of persistence in a unified framework through the Markov Switching ARFIMA model of Härdle and Tsay (2009). Major results based on the CSFB/Tremont hedge fund indexes monthly data during the period 1994-2012, highlight the importance of the long memory parameter magnitude...
The market's line estimation implicitly assumes that its parameters are constant over time. Investors, who use the beta of this line for build their portfolio, have a similar behavior whatever their investment horizon. We discuss this hypothesis in this article using the technique of wavelets providing the time evolution of different frequencies tr...
Cet article analyse les interdépendances non linéaires susceptibles d'exister au sein de la zone euro. Nous introduisons un modèle dynamique original qui est une combinaison du modèle de Mackey-Glass bivarié et bruité de Kyrtsou et Labys(2006), étendu à un cadre multivarié, avec une spécification GJR-GARCH à corrélations conditionnelles dynamiques....
In this paper, interactions or co-movement between the CER and EUA futures prices are examined in order to shed light on the dependency between the European Union Emissions Trading Scheme (EU ETS) and the clean development mechanism (MDP). Our analysis uses the wavelet method to model the correlation between CER and EUA in the time-frequency domain...
Cette 4e édition, mise à jour des développements les plus récents et enrichie d’une étude de cas récapitulative, traite de manière pédagogique les techniques – classiques et modernes – d’analyse des séries temporelles. Elle répond aux questions suivantes : • Quelles sont les méthodes de prévision des ventes ? • Que sont un lissage exponentiel et la...
L’accroissement du risque de marché sur les places financières a conduit les autorités de régulation à imposer le calcul d’une mesure de risques extrêmes : la Value-at-Risk. FIGLEWSKI(1997) et JPMORGAN(1996) dans son modèle Riskmetrics, recommandent dans le calcul de la VaR d’utiliser une moyenne des rentabilités nulle. Cette hypothèse, souvent ret...
Depuis l'entrée en vigueur en 2005 du système communautaire d'échange de quotas d'émission Européen (SCEQE), la mise en place d'un prix sur les quotas carbone a permis aux différents indus-trièls de prendre conscience de l'impact de leurs émissions sur l'environnement et sur la biodiversité. Plusieurs études ont été réalisées sur le fonctionnement...
The weaknesses of current Value-at-Risk (VaR) measure led the Basel Committee to revise the Basel II market risk framework. A stressed VaR measure is introduced to incorporate the violent behaviour of financial markets during crisis periods. This requirement allows the pro-cyclicality of the current VaR to be removed. However, this solution does no...
The aim of this paper is to analyze the cross-market interactions between crude oil prices and wheat prices. We investigate the dynamic relationship between world oil market and wheat market in assumption that the increase of volatility in wheat price is caused by the exogenous crude oil price. To this end, Granger Causality test and kernel Granger...
Over the last four decades, several estimation issues of the beta have been discussed extensively in many articles. An emerging consensus is that the betas are time-dependant and their estimates are impacted by the return interval and the length of the estimation period. These findings lead to the prominence of the practical implementation of the C...
Les évènements récents qui ont successivement secoué les marchés financiers européens suggèrent des phénomènes d’interdépendance entre les indices boursiers. Les relations susceptibles d’exister entre ces différents pays peuvent s’intensifier en période de crise. Il est alors plus adéquat de parler de contagion. Cette différence de terminologie rev...
We propose a generalization of the decomposition by population subgroups of the α-Gini index, the so-called multi-level subgroup decomposition. We demonstrate that all components obtained from the decomposition, can integrate in their functional form a parameter of inequality sensitivity being either related to overall inequalities (α) or to betwee...
The hedge funds performance evaluation requires an adequate characterization of returns distributions shape. This characterization is made by thorough probabilistic moments. Different types of moments were used in the literature, namely, the conventional (central or raw) moments (Sharpe, 1966, Treynor and Black, 1973), the partial moments (Sortino...
This paper analyzes the cyclical behavior of Dow Jones by testing the existence of long memory through a new class of semiparametric ARFIMA models with HYGARCH errors (SEMIFARMA-HYGARCH); this class includes nonparametric deterministic trend, stochastic trend, short-range and long-range dependence and long memory heteroscedastic errors. We study th...
Measuring financial assets’ risks constitutes an essential tool for financial institutions to face up the future uncertainties. Thus, the VaR was designated by the Basel Committee as an instrument allowing daily estimation of the required funds to face up the market risks. Risks control is an important matter that animates not only professionals bu...
In this paper, following the notion of probabilistic risk adjusted performance measures, we introduce that of fuzzy risk adjusted performance measures (FRAPM). In order to deal efficiently with the closing-based returns bias induced by market microstructure noise, as well as to handle their uncertain variability, we combine fuzzy set theory and pro...
This paper investigates the dynamics of hedge fund returns and their behavior of persistence in a unified framework through the Markov Switching ARFIMA model of Härdle and Tsay (2009). Major results based on the CSFB/Tremont hedge fund indexes monthly data during the period 1994-2011, highlight the importance of the long memory parameter magnitude...
Cet article analyse la performance des fonds spéculatifs en supposant que les facteurs de risque sont des variables floues. Dans le but de mesurer le risque relatif aux pertes, on introduit la notion de risque de perte est nouvellement introduite avec la théorie de la crédibilité, et on étudie ses propriétés mathématiques. En se basant sur les conce...
The aim of this paper is to analyze the hedge fund performance assuming that the risk factors are fuzzy variable. In order to measure the risk relating to loss, the notion of downside risk is originally introduced in this paper with credibility theory, and their mathematical properties are studied. Based on the concept of upside and downside partia...
IntroductionPrevious ResearchEvaluating the Cointegrating RelationshipEvaluating the Causal RelationshipConclusions
Cet article analyse le comportement cyclique du cours du Dow Jones et notamment ses propriétés de mémoire longue à travers une nouvelle classe de modèles ARFIMA semiparamétriques avec erreurs GARCH hyperboliques, notée SEMIFARMA-HYGARCH ; cette classe inclut une tendance déterministe non paramétrique, une tendance stochastique, la dépendance à cour...
Following Milanovic's (1997) paper, we propose a simple way to compute the Gini index when income y is a quadratic function of its rank among n individuals.
In this paper, we study the oil price formation for the purpose of understanding price reactions of OPEC member countries to changes in the exchange rate of the US dollar and prices of other members in the short run. The results suggested that there is a partial impact of exchange rates volatility on oil prices dynamics in short runs. Moreover, the...
The decline in the value of US dollar and the emergence of other currencies has opened the debate within OPEC, of whether it is possible to resort to the pricing of crude oil in alternative currencies. The debate was limited because of the inadequate liquidity of most other currencies. In this paper, we focus on the implications of the shift in the...
In this article, we propose an innovative way for modelling oil bull seasonals taking into account seasonal speculations in oil markets. Since oil prices behave very seasonally during two periods of the year (summer and winter), we propose a modification of Mackey Glass equation by taking into account the rhythm of seasonal frequencies. Using month...
Les décideurs sont à l’affût de méthodes capables de reproduire le plus fidèlement possible des situations virtuelles de marché pour anticiper les comportements économiques. Après un rappel critique des différentes méthodes (directes et indirectes) habituellement utilisées, nous présentons une forme étendue du modèle de prix hédonique qui allie inf...
The aim of this article is the study of complex structures which are behind the short-term predictability of stock returns series. In this regard, we employ a seasonal version of the Mackey-Glass-GARCH(p,q) model, initially proposed by Kyrtsou and Terraza (2003) and generalized by Kyrtsou (2005, 2006). It has either negligible or significant autoco...
Les mesures d’inégalité du revenu rassemblent deux types d’indicateurs décomposables : les indices décomposables en sous-populations et les indices décomposables en sources de revenu. Les premiers permettent de partager l’inégalité totale en une inégalité intragroupe et une inégalité intergroupe et les seconds d’attribuer à chaque facteur de revenu...
Income inequality measures involve two sub-classes of decomposable measures: those decomposed by sub-groups and those decomposed by income source. The former enables one to compute between- and within-group indices. The latter allows for gauging the inequality related to each factor of income (labour income, capital income, social taxes, etc.). The...
La loi de probabilité des indices décomposés de pauvreté, établis sur la théorie des ensembles flous, est inconnue. Comme le calcul des contributions est normalisée et bornée dans [0,1], les changements dans les indices concernent des valeurs très petites et il est difficile de conclure sur la signification des coefficients calculés. Nous proposons...
Gini and entropy are the most use measures to gauge income inequalities. We show that each measure yields different subgroup decomposition techniques into within-group inequalities and between-group inequalities. Then, we show that the Gini index has been decomposed into many ways to bring out a third measure of income inequalities.scales.
The inequalities of net annual wages, estimated via the Gini ratio, declined by about 8% between 1976 and 2000. The indicator fell from 0.322 to 0.296. By using the Gini decomposition and dividing the French population by age group, gender, occupational category, and geographic area, we can estimate the distribution of inequalities over the period.
De 1976à2000,lesinégalitésderémunérationnetteannuelle,mesuréesàl’aidedel’indicedeGini,ontconnuunebaissenotablede 8%. L’indice est passé de 0,322 à 0,296. En effectuant des découpages de la population par âge, sexe, professions et catégorie socioprofessionnelle et région, il est possible, par l’intermédiaire de la décomposition de l’indice de Gini,...
The purpose of this paper is to extend Dagum’s Gini decomposition (“A New Approach to the Decomposition of the Gini Income Inequality Ratio”, Empirical Economics 22(4), 515-531, 1997a) following three types of theoretical modelisation. The first one deals with a “poor/non-poor” decomposition within a sub-group multilevel framework. The second one e...
Les méthodes statistiques permettant l'évaluation empirique des inégalités de revenu ont privilégié, depuis 1970, les indices de mesure des inégalités comme l'entropie généralisée ou l'indicateur d'Atkinson. Ces mesures possèdent par construction certaines propriétés axiomatiques qui assurent une décomposabilité de l'indice par sous-populations. El...
The nonlinear testing and modeling of economic and financial time series has increased substantially in recent years, enabling us to better understand market and price behavior, risk and the formation of expectations. Such tests have also been applied to commodity market behavior, providing evidence of heteroskedasticity, chaos, long memory, cyclic...
Note on the use of the multidimensional gini index applied on an analysis of wage inequalities in Languedoc-Roussillon in 1996
This article shows that the multidimensional Gini index is more complete than its unidimensional configuration in order to compute the contribution of each group to the overall inequality. In Languedoc-Roussillon, it indica...
We study the probability of rejecting the seasonal unit root tests developed by Hylleberg et al. when they are applied to fractionally integrated seasonal time series. We find that these tests have quite low power and that they lead to a risk of over-differencing. The forecasting performance of fractionally integrated seasonal models is also examin...
In this article we provide an overview of the Gini decomposition and the generalized entropy inequality measures, a free access to their computation, an application on French wages, and a different way than Dagum to demonstrate that the Gini index is a more convenient measure than those issued from entropy: Theil, Hirschman-Herfindahl and Bourguign...
Most recent empirical works that apply sophisticated statistical proceduressuch as a correlation-dimension method have shown that stock returns arehighly complex. The estimated correlation dimension is high and there islittle evidence of low-dimensional deterministic chaos. Taking the complexbehaviour in stock markets into account, we think it is m...
Recent empirical studies have shown that the chaotic behaviour and excess volatility of financial series are the result of interactions between heterogeneous investors. In our article, we propose verifying this hypothesis. Thus, we use the Chen, Lux, and Marchesi (2000) model to show that the modification of the agents' homogeneity hypothesis can d...
In the paper we propose an extension of the seasonal unit root test procedure developed by Hylleberg, Engle, Granger, and Yoo (1990). We give a general formulation of the procedure for testing the presence of seasonal unit roots in time series with an odd periodicity, using the Beaulieu-Miron approach. We also provide finite sample critical values...
The nonlinear testing and modeling of economic and financial time series has increased substantially in recent years, enabling us to better understand market and price behavior, risk and the formation of expectations. Such tests have also been applied to commodity market behavior, providing evidence of heteroskedasticity, chaos, long memory, cyclic...
Metal price fluctuations have recently been of interest not only because of their cyclical volatility but also of their interaction with business cycles. A related issue is whether metal prices move together sufficiently to collectively reflect macroeconomic influences. Correlation or the tendency for prices to move together has been termed “comove...
This article is focused on the study of non stationnarity in monthly series of demand deposits in Spanish banks and savings banks, using the FRANSES tests and the BEAULIEU-MIRON tests. These procedures provide evidence on the presence of unit roots at zero and seasonal frequencies in the process generating both series. The correspondence between th...
Cet article examine l'evolution a court terme des cours du cacao sur le marche de New York. Nous essayons d'etablir des previsions hors echantillon en utilisant une modelisation non lineaire de type reseaux de neurones. Nous examinons aussi l'impact des volumes de transactions, de la volatilite ainsi que les positions ouvertes sur la qualite des pr...
This paper concerns the econometric analysis of the dynamic relationships found between the domestic consumptions of different beverages in Spain. The filters required to achieve stationarity of the series were found using the DICKEY-FULLER, PHILLIPS-PERRON and PANTULA et al tests; for the seasonal time series, the BEAULIEU-:MIRON test was used. Cr...
This paper studies the dynamic short-term relationship among household consumptions of beverages in Spain over the period 1987 to 1994. Augmented Dickey-Fuller tests and Beaulieu-Miron tests suggested that the nature of the non-stationarities of the monthly variables studied was mixed (deterministic and stochastic). The filtered series were used to...
In this work we analyze the extension of the Hylleber et al. (HEGY, 1990) seasonal unit root test methodology to monthly data introduced by Franses (1991) and Beaulieu and Miron (1991 and 1993). The comparison between both monthly time series unit roots test allows us to determine the equivalence between the auxiliary regressors ϕi(B) obtained usin...
In this paper we study the relationship between the household consumption of table and quality wines and beer, the latter acting as a competitor or substitute drink. After an investigation of the structure of price and quantity series in the time and frequency domains, we determine the appropriate filters to make stationary these variables by means...
In this paper, we analyze the weekly consumer prices series for canned and fresh asparagus in Spain, using mainly the Box and Jenkins methodology.The asparagus prices series for fresh consumption present different number of observations depending on the yearly campaigns and therefore we have divided this series in two parts for its analysis, one pa...
Income inequality measures involve two sub-classes of decomposable measures : those decomposed by sub-groups and those decomposed by income source. The former enables one to compute between- and within-group indices. The latter allows for gauging the inequality related to each factor of income (labour income, capital income, social taxes, etc.). Th...
This paper presents a model of beverage's demand in France from 1959 to 1995. We use the constrained L.A./ A.I.D.S. model, considered in the dynamic context of an equilibrium correction model, which incorporates the economic restrictions, in both the long run and in the short run components. The quality wine demand's increase depends in both the in...
Les décideurs sont à l’affût de méthodes capables de reproduire le plus fidèlement possible des situations virtuelles de marché pour anticiper les comportements économiques. Après un rappel critique des différentes méthodes (directes et indirectes) habituellement utilisées, nous présentons une forme étendue du modèle de prix hédonique qui allie inf...
L’influence de la spéculation sur les marchés des matières premières a été, depuis longtemps, au centre des débats entre chercheurs, en particulier celui de la nature complexe de la causalité entre les marchés. Nous étudions, dans cet article, la relation qui peut exister entre les marchés financiers et les marchés des matières premières, et nous p...
Nous proposons dans cette recherche de mettre en avant le rôle capital joué par les préférences du décideur sur sa perception des inégalités intragroupes et intergroupes. Une application réalisée à partir des salaires observés en France entre 1995 et 2005 révèle notamment de grands écarts de valeurs entre les différents indicateurs choisis pour éva...
The aim of this article is the study of complex structures, which are behind the short-term predictability of stock returns series. To avoid the limitations of agent-based modelling, we use a seasonal version of the Mackey-Glass-GARCH(p,q) model, initially proposed by Kyrtsou and Terraza (2003) and generalized by Kyrtsou (2004). It has either negli...
