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Статті в журналах з теми "Volatilité des indices boursiers"
Bensafta, Kamel Malik, and Gervasio Semedo. "De la transmission de la volatilité à la contagion entre marchés boursiers : l’éclairage d’un modèle VAR non linéaire avec bris structurels en variance." Articles 85, no. 1 (May 18, 2010): 13–76. http://dx.doi.org/10.7202/039734ar.
Повний текст джерелаTo, Minh Chau, and Benoît Marcil. "La transaction programmée et la volatilité." Articles 65, no. 2 (February 3, 2009): 248–62. http://dx.doi.org/10.7202/601491ar.
Повний текст джерелаSéjourné, Bruno. "Volatilité des marchés boursiers et comportement des épargnants français." Revue d'économie financière 74, no. 1 (2004): 219–30. http://dx.doi.org/10.3406/ecofi.2004.5040.
Повний текст джерелаBensafta, Kamel Malik, and Semedo Gervasio. "Chocs, chocs de volatilité et contagion entre les marchés boursiers." Revue économique 62, no. 2 (2011): 277. http://dx.doi.org/10.3917/reco.622.0277.
Повний текст джерелаVan der Yeught, Michel. "Terminologie des indices boursiers." ASp, no. 11-14 (December 1, 1996): 207–16. http://dx.doi.org/10.4000/asp.3512.
Повний текст джерелаSNINEH, My Hicham, and Hicham MESK. "La finance comportementale : Revue de littérature." International Journal of Financial Accountability, Economics, Management, and Auditing (IJFAEMA) 3, no. 6 (November 10, 2021): 989–1007. http://dx.doi.org/10.52502/ijfaema.v3i6.167.
Повний текст джерелаDesrosiers, Stéphanie, Jean-François L’Her, and Meimei Xuan. "Répartition de l’actif d’un portefeuille d’actions internationales et exposition au risque de change." Articles 78, no. 4 (December 7, 2004): 511–38. http://dx.doi.org/10.7202/007263ar.
Повний текст джерелаLe Pen, Yannick, and Benoît Sévi. "Impact d'un choc sur les corrélations de trois indices boursiers." Revue économique 61, no. 3 (2010): 407. http://dx.doi.org/10.3917/reco.613.0407.
Повний текст джерелаGalbraith, John W. "Les progrès dans les prévisions : météorologie et économique." Articles 81, no. 4 (April 12, 2007): 559–93. http://dx.doi.org/10.7202/014910ar.
Повний текст джерелаEl Khamlichi, Abdelbari. "Le comportement des indices boursiers socialement responsables en période de crise." Management & Avenir 61, no. 3 (2013): 30. http://dx.doi.org/10.3917/mav.061.0030.
Повний текст джерелаДисертації з теми "Volatilité des indices boursiers"
Métais, Carole. "Etude théorique et empirique de la distribution des rentabilités des actifs financiers et de leur volatilité." Paris 9, 2011. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=2011PA090045.
Повний текст джерелаBuilding on the notion of realized variance and bipower variation, this thesis provides a thorough analysis of the properties of stock market volatility. Particular emphasis is placed on the study of the existing links among the volatilities of a set of stock market indexes. First, we examine the characteristics of the realized variance series as well as those of their continuous and jump components. Then, we introduce a method to decompose the jump component into individual jumps. We proceed with the analysis of the jump characteristics, namely frequency and size. Lastly, we investigate the existence of volatility and jump transmissions among stock markets. We show that both volatility and jump occurrences in different markets are related at a contemporaneous level but that spillover effects can only be detected among volatilities and mainly for short-time horizons
Labidi, Chiraz. "Modélisation des rendements par des mélanges discrets, dynamiques des surfaces de volatilités implicites et mécanismes de transmission internationaux." Paris 9, 2002. https://portail.bu.dauphine.fr/fileviewer/index.php?doc=2002PA090035.
Повний текст джерелаThis thesis is organized in three parts corresponding to three essays in empirical finance. In the first part, we present a new estimation method for Gaussian mixture modeling, namely the Kurtosis-controlled EM algorithm, that overcomes the limitations of the usual estimation techniques via kurtosis control and kernel splitting. We then use the discrete Gaussian mixture framework to account for the observed thick-tailed distributions of futures returns and apply the Kurtosis-controlled EM algorithm to estimate the distributions of real (agricultural, metal and energy) and financial (stock index and currency) futures returns. We show that this framework is perfectly adapted to capturing the departures from normality of the observed return distributions. An impressive body of the literature has investigated the patterns of changes in implied volatilities across strike prices and maturities. Although such studies try to explain the existence of the volatility skew and term structure. They remain silent about the evolution of the volatility surface as the time goes by and market variables move. In the second part of this thesis, we rely on a technique of signal processing called Independent Component Analysis to extract volatility modes that account for most of the variations in the shape of the surface. We then relate the magnitude of volatility changes along those modes to market activity. A better understanding of cross-market linkages and interactions would help to better manage international financial exposure. So far, no attempt has been made to investigate the degree of price and volatility spillovers in a non -Gaussian conditional framework. We present, in the third part, a new model for these transmission mechanisms that relies on non-central t marginal distributions and a copula function to characterize the conditional dependence. Rendering the dependence parameter time-varying, we investigate how the dependence structure is affected by stock return innovations
El, Bakkouchi Mounir. "Analyse du risque de marché boursier marocain en période de crise des subprimes : Cas de l'indice MASI." Thesis, Montpellier 1, 2014. http://www.theses.fr/2014MON10004/document.
Повний текст джерелаThe Moroccan stock market had experienced an unmatched Sharp collapse due to the subprime crisis that happened in the USA on summer 2007, the index of MASI lost 20% in the same year, thus we can talk here about a crash of stock. In 2008, the stock market lost 70 billion MAD. It is possible that it will continue decreasing, and that the scenario of 2007 - 2009 will happen again. The purpose of this thesis is to suggest a detailed empirical analysis of the yields of MASI index and choose the most efficient portfolios, and an econometric model that can record the lowest score of the violations, in other words, it can guarantee the best cover against the downside market risk Whatever the level of the volatility reached by the Moroccan stock market, to achieve this goal we use the Markowitz model and Value at Risk
Mokengoy, Mardochée Bopo. "Volatility transmission between the oil price, the exchange rate and the stock market index." Master's thesis, Université Laval, 2015. http://hdl.handle.net/20.500.11794/25856.
Повний текст джерелаThis thesis analyzes the transmission of volatility between oil prices, exchange rates and stock market indices in Canada and in the USA for the period 1999/01/04 – 2014/03/21. Using a multivariate GARCH – BEKK model, we find that in Canada, there is a bidirectional transmission of volatility between the exchange rate $US/$CAD and the stock market index TSX, a positive transmission from the stock market index to the oil price and a negative transmission from the exchange rate to the oil price. We find also that these relationships are not stable over time. For the USA, the model estimated does not satisfy the condition of covariance stationarity for the entire sample and the sub sample 1999/01/04 – 2002/10/08. So we consider only results for sub samples 2002/10/09 – 2008/05/30 and 2008/06/02 – 2014/03/21. Results show that there are transmissions of volatility, but here again, these relationships are not stable over time.
Majidi, Elmehdi. "Finance islamique et croissance économique : quelles interactions dans les pays MENA." Thesis, Pau, 2016. http://www.theses.fr/2016PAUU2001/document.
Повний текст джерелаThis dissertation contains three essays on different issues on mergers and acquisitions, left unexplored or unresolved by the existing literature. The first study examine the relationship between Islamic finance development and economic growth in a panel of 15 MENA and Sout-est-asia countries over the 2000-2009 period, using a variety of econometric methods and four standard measures of Islamic financial development. The study identifies two sets of findings. First, fixed effects estimation, panel-data-instrument variables regressions and GMM-difference estimator reveal that the relationship between Islamic financial development and economic growth is positive. The semiparametric panel model shows that there is evidence of nonlinearity in the data. The second study, assess empirically the effect of the 2007-2008 subprime financial crisis on Islamic banks using a sample of 27 Islamic banks and 43 conventional banks during the period from 2005 to 2009. Using the Z-score as indicator of bank stability the results of our regression analysis show that there is no difference in terms of the effect of the financial crisis on the soundness of Islamic bank and their conventional counterparts. The third study aims to examine the volatility of Islamic stock index compared to their conventional counterparts. Five major Islamic stock indexes have been the subject of our third study as well as their conventional counterparts. Covering a time period from 12/02/2009 to 12/02/2014. The application of Granger causality tests detected different causalities during the period, between the returns series under study. Employing Generalized Autoregressive Conditional Heteroskedastic (GARCH), our results indicate that, four among five Islamic stock indexes were less volatile than their conventional counterparts. But, one Islamic index are more volatile than their conventional counterpart
Khoali, Youssef. "Etude des options journalières et hebdomadaires introduites par Nyse Euronext : transferts de volumes, types d'investisseurs et volatilité du marché sous-jacent." Thesis, Grenoble, 2012. http://www.theses.fr/2012GRENG010.
Повний текст джерелаThe objective of this dissertation is to study the daily and weekly options recently introduced by NYSE Euronext on the Dutch stock index AEX-Index. We study these options from three distinct angles: First, the impact of their introduction on the volume of existing options with longer maturities. Next, we analyze the different types of investors who trade these options and we distinguish between members of markets, customers and market makers. Finally, given investor information savvy and sophistication levels for those who trade short maturities options, we examine the impact of their trading on underlying market volatility, i.e. the volatility of the stock market index AEX. Our main results reveal a substitution effect of the existing monthly options by the new options. We observe a negative impact of daily and weekly options on monthly option volumes and a negative impact of the introduction of daily options on weekly option volumes. Concerning investors, we find that the daily and weekly options are mainly traded by customers of market members who are less informed and less sophisticated. With regard to the underlying volatility, we find an increase of the AEX index volatility level following daily and weekly options introduction, explained by the fact that these new options are traded by customers who are weakly informed investors
Khalfaoui, Rabeh. "Wavelet analysis of financial time series." Thesis, Aix-Marseille, 2012. http://www.theses.fr/2012AIXM1083.
Повний текст джерелаThis thesis deals with the contribution of wavelet methods on modeling economic and financial time series and consists of two parts: the univariate time series and multivariate time series. In the first part (chapters 2 and 3), we adopt univariate case. First, we examine the class of non-stationary long memory processes. A simulation study is carried out in order to compare the performance of some semi-parametric estimation methods for fractional differencing parameter. We also examine the long memory in volatility using FIGARCH models to model energy data. Results show that the Exact local Whittle estimation method of Shimotsu and Phillips [2005] is the better one and the oil volatility exhibit strong evidence of long memory. Next, we analyze the market risk of univariate stock market returns which is measured by systematic risk (beta) at different time horizons. Results show that beta is not stable, due to multi-trading strategies of investors. Results based on VaR analysis show that risk is more concentrated at higher frequency. The second part (chapters 4 and 5) deals with estimation of the conditional variance and correlation of multivariate time series. We consider two classes of time series: the stationary time series (returns) and the non-stationary time series (levels). We develop a novel approach, which combines wavelet multi-resolution analysis and multivariate GARCH models, i.e. the wavelet-based multivariate GARCH approach. However, to evaluate the volatility forecasts we compare the performance of several multivariate models using some criteria, such as loss functions, VaR estimation and hedging strategies
Castillan, Solenne. "Contrat à terme sur indice boursier : le cas du FCE sur CAC40." Thesis, Montpellier, 2016. http://www.theses.fr/2016MONTD056/document.
Повний текст джерелаThe CAC 40 index is the first thing that comes to mind when talking about financial markets. However it is not negotiable. Therefore appeared derivative contracts such as futures contract FCE whose underlying is the CAC40 index which can be bought and sold. Their values are very close but not equal. So what is the relationship between the FCE contract and the CAC40? Using daily downloadable data on the Internet and accessible to everyone, answers will be given. In the first part we present the future contracts derived from the CAC40, the reasons to trade it, and we compare it to other stock index futures in the world. We then study the relationship FCE / CAC40 in terms of informational efficiency. For that we will study different notions of basis and try to model them. Finally in the last part we are interested in the same relationship but with a microstructure point of view, studying in particular non-price variables: volume and open interest, and volatility. Finally, we will try to modelise volatility with these variables
Challe, Édouard. "Prophéties auto-réalisatrices et volatilité des cours boursiers." Paris 10, 2002. http://www.theses.fr/2002PA100130.
Повний текст джерелаThis Ph. D thesis deals with the measurement and determinants of stock market volatility. Part One uses time-series econometric techniques in order to assess the size and persistence of stock markets fluctuations. Major financial anomalies, such as excess volatility and return predictability, are then presented in a unified framework. The analysis leads me to qualify the scope of the so-called Efficient Markets Hypothesis (which turns out to be unfalsifiable), and to stress the need to explain the wide swings in the discount rate that drive stock market fluctuations. Part Two offers a theoretical explanation, based on the notions of equilibrium indeterminacy and self-fulfilling prophecies, to the aforementioned anomalies. Two simple asset pricing models are used to show that the high volatility of stock markets, far from proving their irrationality, is rather a natural implication of the multiplicity of equilibria that may arise in dynamic rational expectations models
Kyrtsou, Catherine. "Hétérogénéité et chaos stochastique dans les marchés boursiers." Montpellier 1, 2002. http://www.theses.fr/2002MON10003.
Повний текст джерелаКниги з теми "Volatilité des indices boursiers"
Davydoff, Didier. Les indices boursiers. Paris: Economica, 1998.
Знайти повний текст джерелаTopsacalian, Patrick. Les indices boursiers sur actions. Paris: Economica, 1996.
Знайти повний текст джерелаS, Pierce Phyllis, and Dow Jones & Co., eds. The Dow Jones averages, 1885-1990. Homewood, Ill: Business One Irwin, 1991.
Знайти повний текст джерелаIndexing for Maximum Investment Results (Glenlake Business Monographs). Routledge, 2001.
Знайти повний текст джерелаThe handbook of financial market indexes, averages, and indicators. Homewood, Ill: Dow Jones-Irwin, 1990.
Знайти повний текст джерелаThe Great Index Mania: The Stock Market (1997-2002. Liberty Pub. Co., 1997.
Знайти повний текст джерела