Gilbert COLLETAZ
COLLETAZ
Gilbert
Professeur émérite
enseignant-chercheurs
Domaine de recherche : Économétrie
Bureau : A214
E-mail : gilbert.colletaz@univ-orleans.fr
Travaux
- Publications dans des revues scientifiques
- Ouvrages et rapports
- Documents de travail et autres publications
- Communications
2003
La fiabilité des informations extraites des estimations paramétriques des densités neutres au risque
Résumé non disponible.
Lien HALLa fiabilité des informations extraites des estimations paramétriques des densités neutres au risque
Résumé non disponible.
Lien HAL1992
1990
1987
Les taux d'intérêt observés sur le marché monétaire sont-ils trop volatils?
Résumé non disponible.
Lien HAL1986
Prévisions explicites de taux d'intérêt en France : une étude empirique sur la période 1981-1985
Résumé non disponible.
Lien HAL1981
L'analyse des relations dynamiques entre variables : une application au taux du marché monétaire français
Résumé non disponible.
Lien HAL1980
1999
Interdépendance régionale du commerce sans coopération monétaire : analyse des effets de contagion dans la crise asiatique
Résumé non disponible.
Lien HAL1988
1982
2013
High-Frequency Risk Measures
This paper proposes intraday High Frequency Risk (HFR) measures for market risk in the case of irregularly spaced high-frequency data. In this context, we distinguish three concepts of value-at-risk (VaR): the total VaR, the marginal (or per-time-unit) VaR, and the instantaneous VaR. Since the market risk is obviously related to the duration between two consecutive trades, these measures are completed with a duration risk measure, i.e., the time-at-risk (TaR). We propose a forecasting procedure for VaR and TaR for each trade or other market microstructure event. We perform a backtesting procedure specifically designed to assess the validity of the VaR and TaR forecasts on irregularly spaced data. The performance of the HFR measure is illustrated in an empirical application for two stocks (Bank of America and Microsoft) and an exchange-traded fund (ETF) based on Standard and Poor's (the S&P) 500 index. We show that the intraday HFR forecasts accurately capture the volatility and duration dynamics for these three assets.
Lien HALA Theoretical and Empirical Comparison of Systemic Risk Measures
We derive several popular systemic risk measures in a common framework and show that they can be expressed as transformations of market risk measures (e.g., beta). We also derive conditions under which the different measures lead to similar rankings of systemically important financial institutions (SIFIs). In an empirical analysis of US financial institutions, we show that (1) different systemic risk measures identify different SIFIs and that (2) firm rankings based on systemic risk estimates mirror rankings obtained by sorting firms on market risk or liabilities. One-factor linear models explain most of the variability of the systemic risk estimates, which indicates that systemic risk measures fall short in capturing the multiple facets of systemic risk.
Lien HAL2012
The Risk Map: A New Tool for Validating Risk Models
This paper presents a new method to validate risk models: the Risk Map. This method jointly accounts for the number and the magnitude of extreme losses and graphically summarizes all information about the performance of a risk model. It relies on the concept of a super exception, which is de.ned as a situation in which the loss exceeds both the standard Value-at-Risk (VaR) and a VaR de.ned at an extremely low coverage probability. We then formally test whether the sequences of exceptions and super exceptions are rejected by standard model validation tests. We show that the Risk Map can be used to validate market, credit, operational, or systemic risk estimates (VaR, stressed VaR, expected shortfall, and CoVaR) or to assess the performance of the margin system of a clearing house.
Lien HAL2011
A Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus CoVaR
We derive several popular systemic risk measures in a common framework and show that they can be expressed as transformations of market risk measures (e.g., beta). We also derive conditions under which the different measures lead to similar rankings of systemically important financial institutions (SIFIs). In an empirical analysis of US financial institutions, we show that (1) different systemic risk measures identify different SIFIs and that (2) firm rankings based on systemic risk estimates mirror rankings obtained by sorting firms on market risk or liabilities. One-factor linear models explain most of the variability of the systemic risk estimates, which indicates that systemic risk measures fall short in capturing the multiple facets of systemic risk.
Lien HAL2008
Threshold Effects in the Public Capital Productivity: An International Panel Smooth Transition Approach
Using a nonlinear panel data model, we examine the threshold effects in the productivity of the public capital stocks for a panel of 21 OECD countries observed over 1965-2001. Using the so-called "augmented production function" approach, we estimate various specifications of a Panel Smooth Threshold Regression (PSTR) model recently developed by Gonzalez, Teräsvirta and Van Dijk (2004). One of our main results is the existence of strong threshold effects in the relationship between output and private and public inputs: whatever the transition mechanism specified, tests strongly reject the linearity assumption. Moreover, this model allows cross-country heterogeneity and time instability of the productivity without specification of an ex-ante classification over individuals. Consequently, it is possible to give estimates of productivity coefficients for both private and public capital stocks at any time and for all the countries. Finally we proposed estimates of individual time varying elasticities that are much more reasonable than those previously published.
Lien HAL2007
Irregularly Spaces Intraday Value-at-Risk (ISIVaR) Models: Forecasting and Predictive Abilities
Résumé non disponible.
Lien HALIrregularly Spaced Intraday Value at Risk (ISIVaR) Models: Forecasting and Predictive Abilities
Résumé non disponible.
Lien HALIrregularly Spaced Intraday Value at Risk (ISIVaR) Models Forecasting and Predictive Abilities
Résumé non disponible.
Lien HAL2006
Threshold Effects of the Public Capital Productivity : An International Panel Smooth Transition Approach
Using a non linear panel data model we examine the threshold effects in the productivity of the public capital stocks for a panel of 21 OECD countries observed over 1965-2001. Using the so-called "augmented production function" approach, we estimate various specifications of a Panel Smooth Threshold Regression (PSTR) model recently developed by Gonzalez, Teräsvirta and Van Dijk (2004). One of our main results is the existence of strong threshold effects in the relationship between output and private and public inputs : whatever the transition mechanism specified, tests strongly reject the linearity assumption. Moreover this model allows cross-country heterogeneity and time instability of the productivity without specification of an ex-ante classification over individuals. Consequently it is posible to give estimates of productivity coefficients for both private and public capital stocks at any time and for each countries in the sample. Finally we proposed estimates of individual time varying elasticities that are much more reasonable than those previously published.
Lien HALA Simple Multiple Variance-Ratio Test Based on Ranks
Using Chow and Denning's arguments applied to the individual hypothesis test methodology of Wright (2000) I propose a multiple variance-ratio test based on ranks to investigate the hypothesis of no serial coorelation. This rank joint test can be exact if data are i.i.d.. Some Monte Carlo simulations show that its size distortions are small for observations obeying the martingale hypothesis while not being and i.i.d. process. Also, regarding size and power, it compares favorably with other popular tests.
Lien HALThreshold Effects in the Public Capital Productivity: An International Panel Smooth Transition Approach
Résumé non disponible.
Lien HALThreshold Effects in the Public Capital Productivity: An International Panel Smooth Transition Approach
Résumé non disponible.
Lien HAL2003
2002
Condhet.src : une procédure d'estimation de processus à variance conditionnelle hétéroscédastique sous RATS
Résumé non disponible.
Lien HAL2000
1992
1991
Le recrutement des jeunes travailleurs - une analyse économique et économétrique
Résumé non disponible.
Lien HAL1988
Une analyse économétrique des aspects quantitatifs et qualitatifs de l'entrée des jeunes dans la vie active
Résumé non disponible.
Lien HAL1986
Investissement scolaires et rendement des investissements post-scolaires
Résumé non disponible.
Lien HAL1984
1981
2008
2006
Threshold Effects of the Public Capital Productivity: an International Panel Smooth Transition Approach
Résumé non disponible.
Lien HALThreshold Effects in the Public Capital Productivity: an International Panel Smooth Transition Approach
Résumé non disponible.
Lien HALThreshold Effects in the Public Capital Productivity: an International Panel Smooth Transition Approach
Résumé non disponible.
Lien HALThreshold Effects of the Public Capital Productivity: an International Panel Smooth Transition Approach
Résumé non disponible.
Lien HAL2005
2003
Proposition et propriétés d'un test joint de rapports de variances fondés sur les rangs
Résumé non disponible.
Lien HALProposition et propriétés d'un test joint de rapports de varances fondés sur les rangs
Résumé non disponible.
Lien HALConvergence budgétaire et volatilité des conditions monétaires dans la zone euro : pistes théoriques et éléments d'appréciation empirique
Résumé non disponible.
Lien HAL2001
La fiabilité des informations extraites d'estimations paramétriques de densités neutres au risque
Résumé non disponible.
Lien HAL2000
Peut-on extraire des informations à partir des prix d'options? Une étude de Monte-Carlo
Résumé non disponible.
Lien HAL1999
Peut-on extraire des informations à partir des prix d'options? Une étude de Monte-Carlo
Résumé non disponible.
Lien HAL1998
1991
1988
Une analyse économétrique des aspects quantitatifs et qualitatifs de l'entrée des jeunes dans la vie active
Résumé non disponible.
Lien HAL1987
Une représentation VAR de la fonction de réaction des autorités monétaires françaises et ses enseignements
Résumé non disponible.
Lien HAL1986
Investissements scolaires et rendement des investissements post-scolaires
Résumé non disponible.
Lien HAL1985
1981
1979