conference

Jean-Etienne Carlotti and Isabelle Cristiani and Ahmed Ksaier


Business Group (2010) : Interdependence and Forecasting of S&P500, Oil, Euro/Dollar and 10Y U.S. T-Bond




Interdependence and Forecasting of S&P500, Oil, Euro/Dollar and 10Y U.S. T-Bond

Jean-Etienne Carlotti and Isabelle Cristiani and Ahmed Ksaier




conference

Review of Economic and Business Studies

Alexandru Ioan Cuza University, Faculty of Economics and Business Administration

We observe from the late 1990s an increasing phenomenon of volatility on these following markets: Oil (WTI price), Foreign Exchange (nominal Euro/Dollar), Stock Market (S&P 500 Index) and Bond market (U.S.10-Year). After seizing the concept of volatility and overcoming its first definition of risk measure, we have evaluated their interdependencies from a VAR model, we have investigated the presence of long memory phenomenon in these series and we have carried out their forecasted trajectories from FIGARCH model. This paper is presented as follows: Section 1 opens on a definition of the volatility, Section 2 examines the interdependence of the studied markets; Section 3 provides a FIGARCH model in order to capture the dynamics and predict future market volatilities changes and Section 4 concludes."

To cite this publication :


Jean-Etienne Carlotti, Isabelle Cristiani, Ahmed Ksaier: Interdependence and Forecasting of S&P500, Oil, Euro/Dollar and 10Y U.S. T-Bond. Review of Economic and Business Studies, 2010 (6), 1st International Symposium in Computational Economics and Finance (ISCEF) Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, Sousse, Tunisia, 2010.





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