1000 resultados para Économie financière
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In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data, we propose a comprehensive statistical approach which allows for alternative - possibly asymmetric - heavy tailed distributions without the use of large-sample approximations. The methods suggested are based on Monte Carlo test techniques. Goodness-of-fit tests are formally incorporated to ensure that the error distributions considered are empirically sustainable, from which exact confidence sets for the unknown tail area and asymmetry parameters of the stable error distribution are derived. Tests for the efficiency of the market portfolio (zero intercepts) which explicitly allow for the presence of (unknown) nuisance parameter in the stable error distribution are derived. The methods proposed are applied to monthly returns on 12 portfolios of the New York Stock Exchange over the period 1926-1995 (5 year subperiods). We find that stable possibly skewed distributions provide statistically significant improvement in goodness-of-fit and lead to fewer rejections of the efficiency hypothesis.
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The paper investigates the pricing of derivative securities with calendar-time maturities.
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This paper prepared for the Handbook of Statistics (Vol.14: Statistical Methods in Finance), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and related stylized facts), statistical modelling in discrete and continuous time and, finally, statistical inference (methods of moments, quasi-maximum likelihood, likelihood-based and bayesian methods and indirect inference).
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Dans cet article, pour etendre la theorie du consommateur a ses choix d'epargne et de placements, on utilise a la fois la theorie usuelle, celle des caracteristiques et celle du raisonnement quantitatif. on en deduit un systeme complet de demandes comprenant simultanement les quantites de biens et de services physiques, les quantites d'actifs financiers et les prix des actifs contingents elementaires eventuels.
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Thèse numérisée par la Division de la gestion de documents et des archives de l'Université de Montréal
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1902/11 (A9,N11).
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1899/06 (A6,N6).
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1916/02 (A23,N2)-1916/03 (A23,N3).
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1903/04 (A10,N4).
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1917/09 (A24,N9)-1917/10 (A24,N10).
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1900/03 (A7,N3).
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1903/03 (A10,N3).
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1925/01 (A32,N1)-1925/02 (A32,N2).
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1899/09 (A6,N9)-1899/10 (A6,N10).