Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "[JEL:C51] Mathematical and Quantitative Methods - Econometric Modeling - Model Construction and Estimation"

Now showing items 1-4 of 4

  • An Eigenfunction Approach for Volatility Modeling 

    Meddahi, Nour (Université de Montréal. Département de sciences économiques., 2001)
    In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the stochastic volatility literature by assuming that the variance is a function of a state variable. However, instead of assuming that the ...

  • Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions 

    Dufour, Jean Marie; Farhat, Abdeljelil (Université de Montréal. Département de sciences économiques., 2001)
    In this paper, we study several tests for the equality of two unknown distributions. Two are based on empirical distribution functions, three others on nonparametric probability density estimates, and the last ones on differences between sample moments. ...

  • Jumps in the Volatility of Financial Markets 

    Perron, Benoit (Université de Montréal. Département de sciences économiques., 1999)
    Recent work suggests that the conditional variance of financial returns may exhibit sudden jumps. This paper extends a non-parametric procedure to detect discontinuities in otherwise continuous functions of a random variable developed by Delgado and ...

  • A Theoretical Comparison Between Integrated and Realized Volatilies 

    Meddahi, Nour (Université de Montréal. Département de sciences économiques., 2001)
    In this paper, we provide both qualitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion the ...