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

Author

Listed:
  • 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.

Suggested Citation

  • Francois-Éric Racicot & Raymond Théoret, 2005. "Calibrage économétrique de processus stochastiques avec applications aux données boursières, bancaires et cambiales canadiennes," RePAd Working Paper Series UQO-DSA-wp0292005, Département des sciences administratives, UQO.
    • Handle: RePEc:pqs:wpaper:0292005
    as

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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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    References listed on IDEAS

    as
    1. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
    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 155-173, March.
    3. Philippe Jorion, 1988. "On Jump Processes in the Foreign Exchange and Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 427-445.
    4. 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.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Stochastic processes; financial econometrics; banks; derivatives; financial engineering;
    All these keywords.

    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; Dynamic Treatment Effect Models; Diffusion Processes

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