Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Mathieu Gatumel"'
Publikováno v:
Commodities ISBN: 9781003265399
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::14564fc901e5b6972b2fb4b3a4a14c2a
https://doi.org/10.1201/9781003265399-24
https://doi.org/10.1201/9781003265399-24
Publikováno v:
Quantitative Finance. 14:1597-1618
From 2008 to 2011, commodity markets experienced growing attention from the banking industry for various reasons: the summer 2008 oil price swing, the price surge in an ounce of gold, or sharp variations in agricultural prices. As a consequence, can
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8cacd1d359a278a159ff90652e1421bc
https://doi.org/10.1080/14697688.2013.842651
https://doi.org/10.1080/14697688.2013.842651
Publikováno v:
Applied Economics Letters. 20:1383-1402
This article investigates momentum strategies in commodity markets. Using a Markov-switching model and formal tests for the number of regimes in the data, we identify momentum trends for a variety of commodities, exchange rates, interest rates and eq
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::730c136402f6cfc278ee8fac2e636ff3
https://doi.org/10.1080/13504851.2013.815300
https://doi.org/10.1080/13504851.2013.815300
Publikováno v:
Revue d'économie financière
Revue d'économie financière, Association d'économie financière 2015, 120 (4), pp.217-238. ⟨10.3917/ecofi.120.0217⟩
Revue d'économie financière, Association d'économie financière 2015, 120 (4), pp.217-238. ⟨10.3917/ecofi.120.0217⟩
International audience
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3293a959be741d023446efa63d6c4a20
https://hal.archives-ouvertes.fr/hal-01986348
https://hal.archives-ouvertes.fr/hal-01986348
Autor:
Mathieu Gatumel, Florian Ielpo
Publikováno v:
SSRN Electronic Journal.
We introduce a new meaure of risk appetite in financial markets, based on the cross sectional behavior of excess returns. Turning them into probabilities through a Markov Switching model, we define one global risk appetite measure as the cross-sectio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::94e1266a10beeb5278bf2ca3e1a9a2fa
https://doi.org/10.2139/ssrn.2334180
https://doi.org/10.2139/ssrn.2334180
Publikováno v:
SSRN Electronic Journal.
Since 2008, catastrophic losses and financial turmoil have deeply shaken the insurance and reinsurance industries. Severe difficulties encountered by sector leaders like AIG and Swiss Re have shed light on the potential fragility of the players, and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0a0f82ae5280ef9a86575eae3251e642
https://doi.org/10.2139/ssrn.2169930
https://doi.org/10.2139/ssrn.2169930
Autor:
Mathieu Gatumel
Cahier de recherche du CERAG 2011-07 E2; This paper aims at presenting the insurance cost-of-capital com- putation issue. It highlights two methodologies introduced by Chief Risk Of- ficer Forum (2008) to perform the cost-of-capital rate and which mo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::9987fa55ae22de71607452aeb3064528
https://shs.hal.science/halshs-00658729
https://shs.hal.science/halshs-00658729
Autor:
Mathieu Gatumel
Publikováno v:
SSRN Electronic Journal.
This paper aims to present the insurance cost-of-capital computation issue. It highlights two methodologies introduced by Chief Risk Officer Forum (2008) to perform the cost-of-capital rate and which more or less justify the risk premium adopted by s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::697b8c300deda37b2d571cbdc486b200
https://doi.org/10.2139/ssrn.1924919
https://doi.org/10.2139/ssrn.1924919
Autor:
Mathieu Gatumel, Florian Ielpo
Publikováno v:
SSRN Electronic Journal.
A shared belief in the financial industry is that markets are driven by two types of regimes. Bull markets would be characterized by high returns and low volatility whereas bear markets would display low returns coupled with high volatility. Modeling
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::26b4da9991119e74f2117c80fa79f134
https://doi.org/10.2139/ssrn.1925058
https://doi.org/10.2139/ssrn.1925058