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Calibrage économétrique de processus stochastiques avec applications aux données boursières, bancaires et cambiales canadiennes

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Author Info

  • Francois-Éric Racicot

    ()
    (Département des sciences administratives, Université du Québec (Outaouais))

  • Raymond Théoret

    ()
    (Département de stratégie des affaires, Université du Québec (Montréal))

Abstract

In this paper, we show how to calibrate the most usual stochastic processes: arithmetic and geometric Brownian motions,, mean-reverting processes and jump processes. This paper contains also many applications to Canadian financial data. We observe, among other phenomena, that a mean-reverting process is very appropriate to estimate the return on assets of the six biggest Canadian banks. Finally, we estimate a monofactorial model of interest rate.

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File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/ArticlecalibrageFRacicotRTheoret.pdf
File Function: First version, 2005
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Bibliographic Info

Paper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number UQO-DSA-wp0292005.

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Length: 31 pages
Date of creation: 13 Jul 2005
Date of revision:
Handle: RePEc:pqs:wpaper:0292005

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Keywords: Stochastic processes; financial econometrics; banks; derivatives; financial engineering;

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  1. Philippe Jorion, 1988. "On Jump Processes in the Foreign Exchange and Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 427-445.
  2. Ball, Clifford A & Torous, Walter N, 1985. " On Jumps in Common Stock Prices and Their Impact on Call Option Pricing," Journal of Finance, American Finance Association, vol. 40(1), pages 155-73, March.
  3. Dell'Aquila, Rosario & Ronchetti, Elvezio & Trojani, Fabio, 2003. "Robust GMM analysis of models for the short rate process," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 373-397, May.
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