+ Laboratoire d'Economie d'Orléans, laboratoire recherche en économie, assurance, banque, économie industrielle, économie internationale, finance, microéconomie, monnaie, politique économique, travail
 
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Laboratoire d'Economie d'Orléans UMR7322

Faculté de Droit d'Economie et de Gestion

Rue de Blois - BP 26739

45067 ORLEANS Cedex 2

tél. : (33) (0)2 38 41 70 37

fax : (33) (0)2 38 41 73 80

 

Mise à jour le 29/04/2014

   
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DR du LEO

Les 3 derniers numéros

 

Actualités du laboratoire

 

Vie de la recherche

►VIèmes Journées Internationale de la microfinance organisées par l'AICFM

" Le financement de la Microfinance"

Université Hassan II Aïn Chock à Casablanca (Maroc) 15-17 avril 2015

DV-appel_a_communication_AICFM_2015.pdf

Date limite d'envoi des propositions de communication : 31 août 2014

Date: 17/03/2014

►Association des Chercheurs Francophones en Microfinance (AICFM)

liste_adherent_2013-2014.pdf

Bulletin-vierge-adhesion2014.pdf

Bulletin_4.pdf

Bulletin_3.pdf

Bulletin_2.pdf

Bulletin_1.pdf

Date: 30/09/2013
 
 

Séminaire du Mardi :

Séminaire(s) à venir :

Séminaire passé :

01/07/2014

BANULESCU G.D.
HANSEN P
HUANG Z
MATEI M

Volatiliy During the Financial Crisis Through the Lens of High-frequency Data: A Realized GARCH Approach (article en attente)

DiscutantLIBRE
 

En savoir plusRésumé-Abstract

In this paper we study the financial volatility during the global financial crisis and use the largest volatility shocks to identify major events during the crisis. Our analysis makes extensive use of high-frequency (HF) financial data for the modelling of volatility and, importantly, for determining the timing within the day when the largest volatility shocks occurred. The latter helps us identify the event(s) that can be associated with each of these shocks. The higher volatility during the period 2007 to 2009 coincides, not surprisingly, with the bankruptcy of Lehman Brothers on September 15, 2008 and Congress's failure to pass the Emergency Economic Stabilization Act on September 29, 2008. The day with the largest volatility shock was February 27, 2007 - a date where Freddie Mac announced a stricter policy for underwriting subprime loans and a date that was marked by a crash on the Chinese stock market. However, the intraday HF data shows that the main culprit for this shock was a computer glitch in the trading system. On the other hand, the days with the largest drops in volatility can in most cases be related to interventions by governments and central banks.

Séminaire du Mercredi :

Séminaire(s) à venir :

 

DOCUMENTS DE RECHERCHE

A Regional Analysis of Markets Uncertainty Spillover

BENSAFTA K.M. DR LEO 2014-02

The Political Economy of FDI Flows into Developing Countries: Does the Depth of International Trade Agreements Matter?

KEBEWAR M, RANA A.T. DR LEO 2014-01

A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies

HAMIDI B, MAILLET B, PRIGENT J.L. DR LEO 2013-18

 

 

 

 






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