IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

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

  • Francois-Éric Racicot

    ()

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

  • Raymond Théoret

    ()

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

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/ArticlecalibrageFRacicotRTheoret.pdf
File Function: First version, 2005
Download Restriction: no

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

as
in new window

Length: 31 pages
Date of creation: 13 Jul 2005
Date of revision:
Handle: RePEc:pqs:wpaper:0292005
Contact details of provider: Postal: Pavillon Lucien Brault, 101 rue Saint Jean-Bosco, Gatineau (Québec) J8Y 3G5
Phone: (819) 595-3900
Fax: (819) 773-1747
Web page: http://www.repad.org/

More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. 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.
  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. 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.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:pqs:wpaper:0292005. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Calmes)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.