Séminaires de recherche


Parameter Estimation with Out-of-Sample Objective

Mardi | 2012-06-19

Elena-Ivona DUMITRESCU – Peter Reinhard HANSEN

We discuss parameter estimation in a situation where the objective is good out-of-sample performance. A discrepancy between the out-of-sample objective and the criterion used for in-sample estimation can seriously degrade the performance. Using the same criterion for estimation and evaluation typically ensures that the estimator is consistent for the ideal parameter value, however this approach need not be optimal. In this paper, we show that the optimal out-of-sample performance is achieved through maximum likelihood estimation (MLE), and that MLE can can be vastly better than the criterion based estimation (QBE).This theoretical result is analogous to the well known Cramer-Rao bound for in-sample estimation. A drawback of MLE is that it suffers from misspecification in two ways. First, the MLE (now a quasi MLE) is inefficient under misspecification. Second, the MLE approach involves a transformation of likelihood parameters to criterion parameters, which depends on the truth. So that misspecification can result in inconsistent estimation causing MLE to be inferior to QBE. We illustrate the theoretical result in a context with an asymmetric (linex) loss function, where the CBE performs on par with MLE when the loss is close to being symmetric, while the MLE clearly dominates QBE the the loss is asymmetric. We also illustrate the theoretical result in an applicable to long-horizon forecasting.

Coût du financement et partage des risques en finance islamique : une nouvelle approche endogène

Mardi | 2012-06-05


Cet article propose une nouvelle explication de la faible présence des contrats mudharaba dans les bilans des banques islamiques. Nous démontrons que la quasi disparition des contrats de partage dans la pratique des institutions financières islamiques n’est pas liée à la nature de ces contrats mais à la méthode de calcul de la marge bénéficiaire des contrats mark-up. Nous proposons une méthode de calcul qui unifie le coût du financement des deux grandes catégories contractuelles. Cette méthode de calcul prend en compte les spécificités du contrat mudharaba, ce qui permet d’obtenir un partage optimal des profits. C’est surtout la prise en compte des exigences du marché du travail comme facteur d’optimisation qui caractérise le plus ce système de contrats.

Does Democratic Transition Spur Financial Development

Mercredi | 2012-05-23


This paper examines whether the effects of democracy on financial development are influenced by the quality of institutions using a panel dataset of a large sample of developed and developing countries over the period 1984-2006. The results indicate that democracy plays a direct important role in stimulating the financial development. Particularly, effects of democracy on financial development are enhanced by higher levels of economic institutions. Otherwise, development may be hampered if these institutions are below some threshold values. Furthermore, results indicate that parliamentary forms of government as well as a greater political polarization increase the effects of democracy on financial development. On the other hand, we found that to take full benefits from democracy, democratizing counties should promote economic institutions, encourage the independence of the bureaucracy from political power and divide the power between the central government and the political units. Eventually, results show that when democracy is not yet established, democratizing countries ought to opt for a presidential form of government since it represents a direct channel that promotes the development of the financial sector (version préliminaire)

Do We Need Intra-Daily Data to Forecast Daily Volatility? (version préliminaire)

Mercredi | 2012-05-16

Denisa BANULESCU-RADU – Bertrand Candelon – Christophe HURLIN

Considering mixed data sampling (MIDAS) regressions, we analyze the inuenceof the sampling frequency of intra-daily predictors on the accuracy of the volatility forecasts. We propose various in-sample and out-of-sample comparisons of daily,weekly and bi-weekly volatility forecasts issued from MIDAS regressions based on intra-daily regressors sampled at di erent frequencies. First, we show that increasing the frequency of the regressors improves the forecasting abilities of the MIDAS model. In other words, using regressors sampled at 5 minutes gives more accurate forecasts than using regressors sampled at 10 minutes, etc. These results are robust to the choice of the loss function (MSE, Qlike, etc.) and to the choice of the forecasting horizon. Third, the MIDAS regressions with high-frequency regressors (sampled between 5 minutes and 30 minutes) provide more accurate in-sample forecasts than a GARCH model based on daily data. However, except the one-period-ahead forecasts of the calm period, the out-of-sample forecasts of MIDAS models are not signi cantly di erent from the GARCH forecasts, whatever the sampling frequency used, con rming that the direct use of high-frequency data does not necessarily improve volatility predictions (version préliminaire)

More on the Impact of US Macroeconomic Announcements: Evidence from French and German Stock Markets’ volatility

Mardi | 2012-04-17


This paper investigates the impact of US scheduled macroeconomic announcementson the domestic, the French and the German market, respectively using anaugmented version of the multivariate DCC-GARCH model. Our setting allows toseparate the direct effect (common response), from the indirect effect(volatility transmission) of the US macroeconomic announcements on the two European markets. Empirical results show evidence of a direct reaction of French and German investors to some common as well as specific US macroeconomic news. More interestingly, a significant bidirectional volatility spillover after the release of some macroeconomic news is found to be apparent, either between the US and German markets or between the US and French markets,although the French market shows a more sensitivity to US macroeconomic surprises than the German market. These findings suggest a stronger integration of the US stock market with the French market rather than with the German market.

Does economic growth affect poverty in CEMAC and WAEMU Zone? An empirical comparative analysis with panel data (article non disponible)

Mercredi | 2012-04-11

Madeleine TOMO-NKONO

In light of increasing interest in the relationship between economic growth and poverty, the present paper uses panel data of CEMAC and WAEMU countries, which use commonly the CFA franc, to determine empirically the impact of growth on poverty for the period 1981–2005. During this period, CEMAC and WAEMU economic progress improved and performance in terms of poverty reduction is slightly satisfactory. Based on random-effects model, we provide estimates for poverty measures at the $1.25 international poverty line. Regression analysis of panel data shows, that economic growth has a statistically significant impact of reducing poverty only in WAEMU zone.