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Calibrage économétrique de processus stochastiques avec applications aux données boursières, bancaires et cambiales canadiennes

Author

Listed:
  • Francois-Éric Racicot

    (Département des sciences administratives, Université du Québec (Outaouais))

  • Raymond Théoret

    (Département de stratégie des affaires, Université du Québec (Montréal))

Abstract

In this paper, we show how to calibrate the most usual stochastic processes: arithmetic and geometric Brownian motions,, mean-reverting processes and jump processes. This paper contains also many applications to Canadian financial data. We observe, among other phenomena, that a mean-reverting process is very appropriate to estimate the return on assets of the six biggest Canadian banks. Finally, we estimate a monofactorial model of interest rate.

Suggested Citation

  • Francois-Éric Racicot & Raymond Théoret, 2005. "Calibrage économétrique de processus stochastiques avec applications aux données boursières, bancaires et cambiales canadiennes," RePAd Working Paper Series UQO-DSA-wp0292005, Département des sciences administratives, UQO.
    • Handle: RePEc:pqs:wpaper:0292005
    as

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    File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/ArticlecalibrageFRacicotRTheoret.pdf
    File Function: First version, 2005
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    References listed on IDEAS

    as
    1. Philippe Jorion, 1988. "On Jump Processes in the Foreign Exchange and Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 427-445.
    2. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
    3. Dell'Aquila, Rosario & Ronchetti, Elvezio & Trojani, Fabio, 2003. "Robust GMM analysis of models for the short rate process," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 373-397, May.
    4. Ball, Clifford A & Torous, Walter N, 1985. "On Jumps in Common Stock Prices and Their Impact on Call Option Pricing," Journal of Finance, American Finance Association, vol. 40(1), pages 155-173, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Stochastic processes; financial econometrics; banks; derivatives; financial engineering;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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