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Featured researches published by Stéphane Goutte.


Applied Economics Letters | 2015

Detecting jumps and regime switches in international stock markets returns

Julien Chevallier; Stéphane Goutte

This article explores seven international stock markets (DJIA, Euro STOXX 600, Russell 2000, Nikkei, NASDAQ, FTSE and Global Dow) in the quest for jumps and regime switches. The methodological framework borrows from the Markov-switching approach and the stochastic modelling literature based on Lévy processes. The econometric procedure is detailed in a two-step fashion. The data set covers the period from June 2004 to July 2014. The main results uncover changing market dynamics according to economic and/or financial phenomena (e.g., economic crises/growth, news events) with the occurrence of several episodes characterized by a high jump intensity. We advocate the use of such a jump-robust model modulated by a Markov chain to further study the dependence structure of financial time series.


Applied Financial Economics | 2014

A regime-switching model to evaluate bonds in a quadratic term structure of interest rates

Raphaël Homayoun Boroumand; Stéphane Goutte; Thomas Porcher

In this article, we consider a discrete-time economy in which we assume that the short-term interest rate follows a quadratic term structure in a regime-switching asset process. The possible nonlinear structure and the fact that the interest rate can have different economic or financial trends justify regime-switching quadratic term structure model. Indeed, this regime-switching process depends on the values of a Markov chain with a time-dependent transition probability matrix which can capture the different states (regimes) of the economy. We prove that under this model, the conditional zero-coupon bond price admits a quadratic term structure. Moreover, the stochastic coefficients which appear in this decomposition satisfy an explicit system of coupled stochastic backward recursions.


Studies in Nonlinear Dynamics and Econometrics | 2017

On the estimation of regime-switching Lévy models

Julien Chevallier; Stéphane Goutte

Abstract The regime-switching Lévy model combines jump-diffusion under the form of a Lévy process, and Markov regime-switching where all parameters depend on the value of a continuous time Markov chain. We start by giving general stochastic results. Estimation is performed following a two-step procedure. The EM-algorithm is extended to this new class of jump-diffusion regime-switching models. Simulations are proposed, alongside an empirical application dedicated to the study of financial and commodity time series. When comparing the results with (i) non regime-switching models, and (ii) continuous regime-switching models (where the Lévy process is replaced by a classic Brownian motion), the Lévy regime-switching model outperforms other competitors.


Applied Economics Letters | 2014

Correlation evidence in the dynamics of agricultural commodity prices

Raphaël Homayoun Boroumand; Stéphane Goutte; Simon Porcher; Thomas Porcher

The article studies the correlation structures of a large panel of agricultural commodities prices between January 1990 and February 2014. We use a various collection of mathematical and statistical methodologies (estimated correlation matrix and principal component analysis) to capture these correlations. Our results show that there exist different degrees of correlation between commodities. We also demonstrate, through data mining analysis, that there are hidden correlations between some commodities. Indeed, some commodities’ price behaviours are very similar in trend. Our results contribute to a better understanding of agricultural prices’ behaviours by producers, investors and market intermediaries. The results contribute to a more efficient strategic asset allocation process within agricultural markets.


Social Science Research Network | 2017

Optimal Management of an Oil Exploitation

Stéphane Goutte; Idris Kharroubi; Thomas Lim

The aim of this paper is to deal with the optimal choice between extraction and storage of crude oil during time under a large panel of constraints for a fixed maturity T. We consider a manager that owns an oil field from which he can extract oil and decide to sell or to store it. This operational strategy has to be done in continuous time and has to satisfy physical, operational and financial constraints such as: storage capacity, crude oil spot price volatility, amount quantity available for possible extraction or the maximum amount which could be invested at time t for the extraction choice. We solve the optimization problem of the manager’s profit under this large panel of constraints and provide an optimal strategy. We then deal with different numerical scenario cases to check the robustness and the corresponding optimal strategies given by our model.


Applied Economics | 2017

Jumps and volatility dynamics in agricultural commodity spot prices

Raphaël Homayoun Boroumand; Stéphane Goutte; Simon Porcher; Thomas Porcher

ABSTRACT The spot commodities market exhibits both extreme volatility and price spikes, which lead to heavy-tailed distributions of price change and autocorrelation. This article uses various Lévy jump models to capture these features in a panel of agricultural commodities observed between January 1990 and February 2014. The results show that Levy jump models outperform the continuous Gaussian model. Our results prove that assuming a constant volatility or even a deterministic volatility and drift structure of agricultural commodity spot prices is not realistic and is less efficient than the stochastic assumption. The findings demonstrate an interesting correlation between volatility and jumps for a given commodity i, but no relationship between the volatility of commodity i and the probability of jumps of commodity j.


Archive | 2015

Statistical Method to Estimate a Regime-Switching Lévy Model

Julien Chevallier; Stéphane Goutte

A regime-switching Levy model combines jump-diffusion under the form of a Levy process, and Markov regime-switching where all parameters depend on the value of a continuous time Markov chain. We start by giving general stochastic results. Estimation is performed following a two-step procedure. The EM-algorithm is extended to this new class of jump-diffusion regime-switching models. An empirical application is dedicated to the study of Asian equity markets.


Energy Economics | 2015

Hedging strategies in energy markets: The case of electricity retailers

Raphaël Homayoun Boroumand; Stéphane Goutte; Simon Porcher; Thomas Porcher


Economic Modelling | 2014

Conditional Markov regime switching model applied to economic modelling

Stéphane Goutte


Mathematical Finance Letters | 2012

Continuous time regime-switching model applied to foreign exchange rate

Stéphane Goutte; Benteng Zou

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Thomas Porcher

Paris School of Business

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Idris Kharroubi

Paris Dauphine University

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Thomas Lim

Centre national de la recherche scientifique

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