P. Del Moral, N. Oudjane soumis Décembre 2010
P. Del Moral, N. Oudjane soumis Décembre 2010
Jean-Michel Zakoïan This paper considers Dynamic Conditional Correlations (DCC) GARCH models in which the time-varying coefficients, including the conditional correlation matrix, are functions of the realizations of an exogenous stochastic process. Time series generated by this model are in general nonstationary. Necessary and sufficient conditions are given for the existence of non-explosive solutions, and for the existence of second-order moments of these solutions. Potential applications concern Read more [...]
Pierre-Noël Giraud, Aline Sutter, Timothée Denis, Cédric Léonard As conventional oil reserves are declining, the debate on the oil production peak has become a burning issue. An increasing number of papers refer to Hubbert's peak oil theory to forecast the date of the production peak, both at regional and world levels. However, in our views, this theory lacks microeconomic foundations. Notably, it does not assume that exploration and production decisions in the oil industry depend on market Read more [...]
René Aïd, Luciano Campi, Nicolas Langrené We develop a structural risk-neutral model for energy market modifying along several directions the approach introduced in [Aïd et al., 2009]. In particular a scarcity function is introduced to allow important deviations of the spot price from the marginal fuel price, producing price spikes. We focus on pricing and hedging electricity derivatives. The hedging instruments are forward contracts on fuels and electricity. The presence of production capacities Read more [...]
R. Elie, I. Kharroubi Statistics and Probability letters 80 (17-18) pp 1388-1396 - Septembre 2010 Plus d'infos.
B. Villeneuve, V. Yanhua Zhang soumis Septembre 2010
R. Carmona, M. Fehr, J. Hinz, A. Porchet SIAM Review 52, pp. 403-452 - Août 2010 Plus d'infos.
N. Regnard, J.-M. Zakoïan Journal of Time Series Analysis 31(5) pp 348–364 - Juillet 2010 Plus d'infos.
A. Galichon International Journal on Theoretic and Applied Finance 23(4), pp 503-506 - Juin 2010 Plus d'infos.