Calibrage économétrique de processus stochastiques avec applications aux données boursières, bancaires et cambiales canadiennes
François-Éric Racicot () and
Raymond Théoret ()
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Raymond Théoret: Département de stratégie des affaires, Université du Québec (Montréal)
RePAd Working Paper Series from Département des sciences administratives, UQO
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.
Keywords: Stochastic processes; financial econometrics; banks; derivatives; financial engineering (search for similar items in EconPapers)
JEL-codes: C22 G11 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2005-07-13
New Economics Papers: this item is included in nep-bec, nep-fin and nep-fmk
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http://www.repad.org/ca/qc/uq/uqo/dsa/ArticlecalibrageFRacicotRTheoret.pdf First version, 2005 (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:pqs:wpaper:0292005
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