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Volatilités et mesures de risque

Author

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  • Christian Gourieroux

    (CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - CNRS - Centre National de la Recherche Scientifique)

  • Gaëlle Le Fol

    (DRM-Finance - DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris sciences et lettres - CNRS - Centre National de la Recherche Scientifique)

Abstract

Nous discutons la pertinence de mesurer le risque par les volatilités. Nous appuyant sur les études récentes sur données de cotation et sur la spécificité des produits dérivés, nous proposons des mesures complémentaires de façon à traiter les effets volumes et temps, et à tenir compte des asymétries.

Suggested Citation

  • Christian Gourieroux & Gaëlle Le Fol, 1997. "Volatilités et mesures de risque," Post-Print halshs-00877048, HAL.
    • Handle: RePEc:hal:journl:halshs-00877048
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00877048
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    References listed on IDEAS

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