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

François-Éric Racicot () and Raymond Théoret ()
Additional contact information
Raymond Théoret: Département de stratégie des affaires, Université du Québec (Montréal)

No UQO-DSA-wp0292005, 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: G11 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-fin and nep-fmk
Date: Written 2005-07-13

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