Comparaison des modèles HAR-RV et HAR-CJ sur les rendements de AMZN et BAC en 2010
, 2013 Rapport de recherche présenté à la Faculté des arts et des sciences en vue de l'obtention du grade de Maîtrise en sciences ...
Cisse, Mame
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Robust bootstrap procedures for the chain-ladder method [PDF]
, 2017 Insurers are faced with the challenge of estimating the future reserves needed to handle historic and outstanding claims that are not fully settled. A well-known and widely used technique is the chain-ladder method, which is a deterministic algorithm. To
Peremans, Kris +3 more
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Reverse currency substitution process and exchange rate volatility: the Turkish case [PDF]
, 2009 Teorik ve ampirik literatür, para ikamesinin döviz kurundaki oynaklığı ve bu oynaklığın da para talebini anlamlı düzeyde etkilediğini göstermektedir. Bu çalışmanın amacı, son dönemde, tersine dönmeye başlayan para ikamesinin döviz kuru oynaklığına ve bu ...
Darıcı, Burak +2 more
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LONG AND SHORT-RUN LINKAGES IN CEE STOCK MARKETS: IMPLICATIONS FOR PORTFOLIO DIVERSIFICATION AND STOCK MARKET INTEGRATION [PDF]
, 2006 This paper examines the short- and long-term relationships between seven Central Eastern European (CEE) stock markets and two developed stock markets, namely the German market and the US market.
Kouretas, Georgios, Syllignakis, Manolis
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Volatilite endeksleri, önemi ve Türkiye volatilite endeksi
, 2020 Within introducing of asset pricing models, the efforts that aim to measure risk and return in financial markets have raised. As result of those efforts, various measurement and forecast models for volatility which is a kind of risk measurement have been revealed. Besides historical, autoregressive conditional heteroskedastic and stochastic models that
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Grouping Emerging Stock Markets Based on Market Data [PDF]
This paper uses cluster analysis, a multivariate statistical technique to classify emerging stock markets that have similarities into different groups.
M. Mete Doganay, Ramazan Aktas
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Bazı Sürdürülebilirlik Endekslerinin Volatilite Modelleriyle İncelenmesi
Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu DergisiFinansal piyasalarda volatilite, sermaye piyasası dinamiklerini şekillendiren en önemli unsurlardan biridir. Ani fiyat dalgalanmaları, makroekonomik göstergelerden politika belirsizliklerine kadar birçok faktörün etkisiyle oluşmaktadır. Bu çalışmada, Türkiye’deki BIST Sürdürülebilirlik Endeksi (XUSRD) ile küresel ölçekteki S&P Dow Jones ...
Hatice Başkaya, Abdullah Özdemir
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A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?
, 2011 International audienceA new standpoint on financial time series, without the use of any mathematical model and of probabilistic tools, yields not only a rigorous approach of trends and volatility, but also efficient calculations which were already ...
Fliess, Michel +2 more
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Taux de change d'équilibre et politiques économiques : Une approche contingente [PDF]
, 1950 Les théories du taux de change d’équilibre supposent que le taux de change réel d’équilibre (tcre) est indépendant de l’équilibre interne et des politiques économiques.
Bouveret, Antoine, Ducoudre, Bruno
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Déterminants de la dollarisation des dépôts en RD Congo : Lecture de l’approche GARCH [PDF]
Mouvements et Enjeux SociauxLa présente étude a analysé les déterminants de la dollarisation des dépôts en RDC, à travers une modélisation hétéroscédastique par la volatilité et de la persistance de ce phénomène dans la durée.
Gilles Bertrand UMBA
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