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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))

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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 Format: application/pdf
File Function: First version, 2005
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Publisher 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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Related research
Keywords: Stochastic processes; financial econometrics; banks; derivatives; financial engineering;

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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This page was last updated on 2009-10-14.


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