1,720,962 research outputs found
A propos du comportement dynamique des marchés de CDS souverains mondiaux
Get PDFLe phénomène de contagion, les hypothèses d'efficience et les transferts de volatilité sont parmi les théories économiques les plus importantes, car elles fournissent une vision globale sur la stabilité financière. Or, elles restent les moins comprises depuis les récentes crises récentes. Ainsi, cette thèse propose de fournir aux régulateurs économiques, aux investisseurs et aux acteurs du marché financier une vision actualisée du comportement dynamique des marchés mondiaux des Credit Default Swaps (CDS): efficacité informationnelle, interaction avec d'autres marchés financiers internationaux et exposition au risque systémique. La dynamique en constante mutation de ces marchés associée à l'évolution constante des politiques de réglementation a suscité un enthousiasme mondial pour l'étude comportementale des marchés des CDS, auquel nous contribuons à travers cinq essais interconnectés. Nous discutons, dans le premier essai, les faits stylisés des données des CDS souverains à travers l'estimation de 9 modèles de type GARCH. Ce chapitre compare les performances de plusieurs modèles prédictifs de volatilité linéaire et non linéaire et prenant en compte différentes caractéristiques financières des séries statistiques. L'application de ces modèles aux spreads de CDS de 38 pays révèle que le pouvoir prédictif de ces modèles dépend de leur capacité à capturer les faits stylisés des CDS souverains pendant l'estimation du processus de la variance. En effet, les modèles GARCH fractionnellement intégrés surpassent les modèles GARCH de base en termes de prévision, en raison de la flexibilité accordée au degré de persistance des chocs de variance. Ces résultats sont utilisés pour modéliser conjointement les rendements et la volatilité des spreads de CDS dans l'ensemble des prochains essais. Le deuxième essai examine également les caractéristiques financières des marchés internationaux des CDS souverains, en donnant de nouvelles preuves sur leurs degrés d'efficacité. En utilisant un nouveau cadre économétrique basé sur une estimation du modèle VECM-FIGARCH en trois étapes, nous montrons que les informations contenues dans les spreads de CDS et les rendements des obligations sous-jacentes ne sont pas toujours reflétées instantanément et correctement dans le niveau du risque souverain. Les résultats révèlent l'existence d'opportunités d'arbitrage avec un rejet partiel de l'hypothèse de marche au hasard dans plusieurs des 37 pays étudiés [etc...]Contagion phenomenon, efficiency hypothesis and spillover effects are amongst the most important economic theories as they provide an overall vision of the financial stability, yet the least understood in the aftermath of the recent crises. This thesis proposes to provide policy makers, investors and broadly market participants with an updated outlook of the dynamic behavior of the global sovereign Credit Default Swaps (CDS) markets: informational efficiency, interaction with other international financial markets and systemic-risk exposure. The steadily changing dynamics of these markets combined with the constantly evolving regulatory policies have led to a shared worldwide enthusiasm regarding the behavioral study of CDS markets, in which we contribute through five interconnected essays. We first discuss, in the first essay, the statistical characteristics of the sovereign CDS data, through the estimation of 9 GARCH-class models. This chapter compares the predictability performances of several linear and non-linear volatility models taking into consideration different financial stylized facts. Application on CDS spreads of 38 countries reveals that the forecasting power of these models depends on their ability to capture sovereign CDS features while estimating the variance process. Yet, the fractionally-integrated models outperform the basic GARCH-class models due to the allowed flexibility regarding the persistence degree of the variance shocks. These results are used to jointly model returns and volatility of CDS spreads in the forthcoming essays.The second essay also investigates the financial characteristics of the international sovereign CDS markets, by giving new evidences on their efficiency degrees. Using a new framework based on a 3-step estimation of a VECM-FIGARCH model, we show that information contained in CDS spreads and bond yields are not always instantaneously and properly reflected in the current sovereign risk level. Results reveal the existence of arbitrage opportunities with a partial rejection of the randomness hypothesis in some of the 37 studied countries. While the previous essay used the conditional expectation of CDS spreads to study the market behavior, the next essays rather focus on the properties of the variance and covariance. The predictability of sovereign CDS volatility, based on the information contained in some country-specific and global macroeconomic factors, is investigated in the third chapter [etc...
On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market
No full textInternational audienceThe study of an efficient financial assets' modeling method is still an open hot issue especially during recent crises. Using credit risk data from 33 worldwide countries, this paper investigates the performance of 9 Dynamic Conditional Correlation models taking into account different properties of financial markets (long memory behavior, asymmetry and/or leverage effects...). This comparative study is based on the results of several multivariate diagnostic tests. Findings show that no model outperforms the others in all situations, though, the straightforward DCC-GARCH model seems to provide the most relevant estimator parameters. Yet, the innovations distributions assumption significantly impacts the statistical fit of the model. Our work is useful for financial markets' participants so as to making decision in terms of arbitrage, hedging or speculation. JEL Classification G11, G12, F02, C5
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe 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
Get PDF“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
The Credit Default Swap market contagion during recent crises: International evidence
No full textInternational audienceThis paper analyzes Credit Default Swaps spread dynamic to determine whether the sovereign Credit Default Swap market is subject to contagion effects. Analysis is performed on credit spreads data of 35 worldwide countries belonging to four different economic categories over a period from 2006 until 2014, covering the subprime crisis and the European sovereign debt crisis. A novel approach is proposed to estimate the dynamic conditional correlations between CDS spreads using AR(1)-FIEGARCH(1,d,1)-DCC model. Based on our findings, we put a slant on the financial market vulnerability, reinforced by contagion effects during the different phases of the crises. Furthermore, analysis of each county solely show that contagion effects are sterner during the Eurozone crisis comparing to the global financial crisis and that the level of exposure to crises differs across global markets and regions. Yet, our approach provides evidences that crises spread to countries across the world regardless their economic status or geographical positions
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe 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
Forecasting sovereign CDS volatility: A comparison of univariate GARCH-class models
No full textInternational audienceInitially overlooked by investors, the sovereign credit risk has been reassessed upwards since the 2000's which has contributed to awaken the interest of speculators in sovereign CDS. The growing need of accurate forecasting models has led us to fill the gap in the literature by studying the predictability of sovereign CDS volatility, using both linear and non-linear GARCH-class models. This paper uses data from 38 worldwide countries, ranging from January 2006 to March 2017. Results show that the CDS markets are subject to periods of volatility clustering, nonlinearity, asym-metric leverage effects and long-memory behavior. Using 7 heteroskedastic and no heteroskedastic-robust statistic criteria, results show that the fractionally-integrated models outperform the basic GARCH-class models in terms of forecasting ability and that allowing flexibility regarding the persistence degree of variance shocks significantly improves the model's suitability to data. Despite the divergence in the economic status and geographical positions of the countries composing our sample, the FIGARCH and FIEGARCH models are mainly found to be the most accurate models in predicting credit market volatility.Initialement ignoré par les investisseurs, le risque de crédit souverain a été réévalué à la hausse depuis les années 2000, ce qui a contribué à éveiller l’intérêt des spéculateurs pour les CDS souverains. Le besoin croissant de modèles de prévision précis nous a amenés à combler le vide dans la littérature en étudiant la prévisibilité de la volatilité des CDS souverains et en utilisant des modèles linéaires et non linéaires de la classe GARCH. Cet article utilise des données de 38 pays dans le monde, allant de janvier 2006 à mars 2017. Les résultats montrent que les marchés des CDS sont soumis à des périodes de regroupement de volatilité, de non-linéarité, d’effets de levier asymétriques et de comportement à longue mémoire. En utilisant 7 critères statistiques hétéroskédastiques et aucun critère hétéroskédastique robuste, les résultats montrent que les modèles partiellement intégrés surpassent les modèles de base de la classe GARCH en termes de capacité de prévision, permettant une flexibilité concernant le degré de persistance des chocs de variance. Malgré la divergence de la situation économique et des positions géographiques des pays composants notre échantillon, les modèles FIGARCH et FIEGARCH se révèlent principalement être les modèles les plus précis pour prédire la volatilité du marché du crédit
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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