Recent events in financial markets put forward the relevance of a study relating to the Asian int... more Recent events in financial markets put forward the relevance of a study relating to the Asian interest rate term premia volatility series. More specifically, our object is to test whether long-term dependent processes, such as FIGARCH ones, are appropriated for modelling volatility series. Results suggest that the considered Asian series of volatility are characterised by a strong dependent structure, which indicates that shocks to volatility have persistent consequences. Moreover, through the estimation of FIGARCH in mean processes, we show that the long-term component of volatility has an impact on term premia series.
... EMMANUEL DUBOIS1, SANDRINE LARDIC2 and VAL ´ERIE MIGNON3 1PESOR, University of Paris XI, Pari... more ... EMMANUEL DUBOIS1, SANDRINE LARDIC2 and VAL ´ERIE MIGNON3 1PESOR, University of Paris XI, Paris, France; 2MODEM-CNRS ... the long-memory tests and ARFIMA (autoregressive fractionally integrated mov-ing average) estimation procedures (see Baillie (1996) for a ...
... Due to the failure of monetary authorities to meet growing money demand with increasedsupply,... more ... Due to the failure of monetary authorities to meet growing money demand with increasedsupply, there is a rise of interest rates and a retard in economic growth (for a detailed discussion on the impact of monetary policy, see Brown and Yücel, 2002). ...
ABSTRACT Our object is to study the adjustment process of five European exchange rates toward the... more ABSTRACT Our object is to study the adjustment process of five European exchange rates toward their fundamentals on the 1979-1999 period. We consider two approaches, namely nonlinear cointegration and fractional cointegration, in order to discriminate between nonlinear short memory and linear long memory adjustment dynamics. The persistent deviations observed between the French real exchange rate and its fundamentals can be explained by the presence of long memory in the adjustment process.Classification JEL : C22, F31.
our object is to test whether long-term dependent processes are appropriated for modeling Europea... more our object is to test whether long-term dependent processes are appropriated for modeling European term premia volatility series. Through the estimation of FIGARCH in mean processes, we show that the long-term component of volatility has an impact on term premia series.
Recent events in financial markets put forward the relevance of a study relating to the Asian int... more Recent events in financial markets put forward the relevance of a study relating to the Asian interest rate term premia volatility series. More specifically, our object is to test whether long-term dependent processes, such as FIGARCH ones, are appropriated for modelling volatility series. Results suggest that the considered Asian series of volatility are characterised by a strong dependent structure, which indicates that shocks to volatility have persistent consequences. Moreover, through the estimation of FIGARCH in mean processes, we show that the long-term component of volatility has an impact on term premia series.
... EMMANUEL DUBOIS1, SANDRINE LARDIC2 and VAL ´ERIE MIGNON3 1PESOR, University of Paris XI, Pari... more ... EMMANUEL DUBOIS1, SANDRINE LARDIC2 and VAL ´ERIE MIGNON3 1PESOR, University of Paris XI, Paris, France; 2MODEM-CNRS ... the long-memory tests and ARFIMA (autoregressive fractionally integrated mov-ing average) estimation procedures (see Baillie (1996) for a ...
... Due to the failure of monetary authorities to meet growing money demand with increasedsupply,... more ... Due to the failure of monetary authorities to meet growing money demand with increasedsupply, there is a rise of interest rates and a retard in economic growth (for a detailed discussion on the impact of monetary policy, see Brown and Yücel, 2002). ...
ABSTRACT Our object is to study the adjustment process of five European exchange rates toward the... more ABSTRACT Our object is to study the adjustment process of five European exchange rates toward their fundamentals on the 1979-1999 period. We consider two approaches, namely nonlinear cointegration and fractional cointegration, in order to discriminate between nonlinear short memory and linear long memory adjustment dynamics. The persistent deviations observed between the French real exchange rate and its fundamentals can be explained by the presence of long memory in the adjustment process.Classification JEL : C22, F31.
our object is to test whether long-term dependent processes are appropriated for modeling Europea... more our object is to test whether long-term dependent processes are appropriated for modeling European term premia volatility series. Through the estimation of FIGARCH in mean processes, we show that the long-term component of volatility has an impact on term premia series.
Uploads
Papers by sandrine lardic