1,721,145 research outputs found
Estimation de modèles de la structure par terme des taux d'intérêt.
No full textWe examine several estimation methods of one of the most useful instruments in interest rate risk management : the term structure of interest rates. We present mainly simulation-based methods allowing for parametric estimation of continuous time models.Nous examinons les différentes possibilités d'estimation d'un des outils les plus utilisés en matière de gestion de risque de taux d'intérêt : la structure par terme des taux d'intérêt. Nous nous attachons plus particulièrement à la présentation des méthodes fondées sur des simulations permettant d'estimer les paramètres de modèles en temps continu.Broze Laurence, Scaillet Olivier, Zakoïan Jean-Michel, Jessua Claude. Estimation de modèles de la structure par terme des taux d'intérêt. In: Revue économique, volume 47, n°3, 1996. pp. 511-519
LINEAR-QUADRATIC JUMP-DIFFUSION MODELING
No full textWe aim at accommodating the existing affine jump-diffusion and quadratic models under the same roof, namely the linear-quadratic jump-diffusion (LQJD) class. We give a complete characterization of the dynamics of this class by stating explicitly the structural constraints, as well as the admissibility conditions. This allows us to carry out a specification analysis for the 3-factor LQJD models. We compute the standard transform of the state vector relevant to asset pricing up to a system of ordinary differential equations. We show that the LQJD class can be embedded into the affine class through use of an augmented state vector. This establishes a one-to-one equivalence relationship between both classes in terms of transform analysis. CHENG, P., SCAILLET, Olivier. Linear-Quadratic Jump-Diffusion Modeling. 2006 Available at
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Hedge Fund analysis: risk dynamics, performance, style and classification
No full textCette thèse est composée de trois articles qui étudient les fonds alternatifs selon trois vue différentes: au niveau des fonds eux-mêmes, au niveau de la construction de portefeuilles et finalement au niveau du marché. 1. Au niveau des fonds alternatifs: Le premier article se concentre sur l'étude de la performance et du risque, en tenant compte de l'allocation dynamique des gestionnaires de fonds alternatifs. 2. Au niveau de la construction de portefeuilles: Le second article revisite la classification et propose une nouvelle méthodologie d'étude de styles basée sur le risque systématique. L'application se porte sur la construction d'un portefeuille de fonds alternatifs. 3. Au niveau du marché: Le troisième article étudie la relation non-linéaire entre les fonds alternatifs et les indices de marché. Deux applications utilisant la connaissance de ces relations entre fonds alternatifs et indices sont présentées. L'une se porte sur l'allocation tactique et l'autre sur la réplication de fonds alternatifs
Supply Chain Finance, Core Company Performance and Financing Difficulties of SMEs – Based on Central Holding Group's Industrial Ecosystem Practice
No full textSmall and medium-sized enterprises (SMEs) are crucial to the development of China's national economy. They significantly contribute to job creation, economic efficiency, industrial innovation and upgrading, economic transformation, and social stability. However, due to their low core competitiveness, high operational risks, and lack of collateral, SMEs commonly face difficulties in obtaining financial services, an inconsistency with their important strategic role in the development of the national economy. The issues of "difficult and expensive financing" have become major obstacles to the survival and growth of SMEs.
With the shift in international labor division and strong government support, various industries have actively responded to market demands by innovating and producing financial products. Consequently, supply chain finance has emerged as a new avenue to address the financing challenges faced by SMEs. Despite the advantages of the supply chain financing model for all participating parties and its significant development in China in recent years, supply chain finance is still in its early stages. It has not yet fully demonstrated its capacity to assist enterprises with financing. There remains considerable room for improvement and expansion in its practical application. In light of this, this paper aims to comprehensively review the concepts and characteristics of supply chain finance models, providing a rich theoretical and practical foundation for its continued development and implementation.
The research content is divided into four parts: First, a detailed review and analysis of the basic background, ideas, and three fundamental models of supply chain finance. Second, an examination of the benefits of supply chain finance in alleviating the financing challenges faced by SMEs. To support this view, this paper employs a sample of data from SMEs listed on the SME Board between 2013 and 2020, using a cash flow sensitivity model for a comprehensive empirical test. Third, an empirical analysis of the effectiveness of supply chain financial services in mutual empowerment, based on operational case studies of Zhonghuan Smart Logistics and Zhonghuan City. Fourth, based on an analysis of the current state of supply chain finance application in China, recommendations are made to address the primary issues identified, promoting the rapid development of the supply chain finance model in the domestic market and encouraging more enterprises to adopt this model. </p
Jumps in high-frequency data and technical trading rules performance
No full textLa présente thèse se compose de deux articles. Le premier article introduit une technique pour éliminer les fausses détections de sauts dans les données haute fréquence, grâce à un seuillage explicite des statistiques de test existantes. En utilisant notre nouvelle méthodologie, nous étudions la dynamique des sauts dans les cours des actions du Dow Jones sur la période allant de 2006 à 2008. Finalement, nous examinons le lien entre les sauts et l'arrivée d'information, en analysant les annonces Reuters et DJNS. Le deuxième article réexamine le succès historique apparent des stratégies d'analyse technique appliquées aux prix journaliers des actions du Dow Jones entre 1897 et 2010, et utilise la FDR comme nouvelle approche pour tenir compte du data snooping. Nos tests de persistance montrent que, même équipé de notre nouvelle technique de sélection, un investisseur n'aurait pas été en mesure de sélectionner à l'avance les futures stratégies génératrices de performance
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