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)

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
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.repad.org/ca/qc/uq/uqo/dsa/ArticlecalibrageFRacicotRTheoret.pdf First version, 2005 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.repad.org:80 (No such host is known. )

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pqs:wpaper:0292005

Access Statistics for this paper

More papers in RePAd Working Paper Series from Département des sciences administratives, UQO Contact information at EDIRC.
Bibliographic data for series maintained by Christian Calmes ().