Working Papers

From Center for Research in Economics and Statistics
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98-04: Wage Concessions and Debt Forgiveness as Strategic Responses to Financial Distress

David Margolis and Pascale Viala

98-03: Statistical Estimation of the Embedding Dimension of a Dynamic System

Denis Bosq, Dominique Guegan and Guillaume Leorat

98-02: Prédiction of Chaotic Time Series in the Presence of Measurement Error: The Importance of Initial Conditions

Dominique Guegan and Rolf Tschernig

98-01: Les salariés de la chimie face à la réduction du temps de travail

Jean-Yves Boulin, Gilbert Cette and Daniel Verger

97-60: Statistical Inference for Random Variance Option Pricing

S, Pastorello, Eric Renault and N Touzi

97-59: Un modèle discret et stochastique d’investissement avec une application aux coûts de transaction

L, Carassus and Elyès Jouini

97-58: Coûts de transaction, contraintes de vente à découvert et taxes: une approche unifiée

L, Carassus and Elyès Jouini

97-57: Arbitrage and Super-Replication Cost with Convex Constraints

Carassus Carassus, Hieu Pham and Elyès Jouini

97-56: Nonparametric Estimation of a Diffusion Equation from Tick Observations

E, Burgayran and Serge Darolles

97-55: The Efficiency of Collective Bargaining in Public School

Daniel S. Hosken and David Margolis

97-54: Approximating Payoffs and Approximating Pricing Formulas

Serge Darolles and Jean-Paul Laurent

97-53: Semiparametric Frequency Domain Estimation for Time Series with Conditional Heteroscedasticity

Marc Henry

97-52: Sublinear Price Functionals under Portfolio Constraints

Pf. Koehl and Hieu Pham

97-51: Pricing of Non-redundant Derivatives in a Complete Market

A, Bizid, Elyès Jouini and Pf. Koehl

97-50: Multiregime Term Structure Models

Christian Gourieroux and Olivier Scaillet

97-49: Predictive Dimension: An Alternative Definition of the Embedding Dimension

Dominique Guegan and Francesco Lisi

97-48: The Demand for Food Products: An Analysis of Interpurchase Times and Purchased Quantities

C, Boizot, Jean-Marc Robin and Michael Visser

97-47: State Dependence and Heterogeity in youth Employment Histories

Thierry Magnac

97-46: Stochastic Volatility Duration Models

Eric Ghysels, Christian Gourieroux and Joann Jasiak

97-45: An Econometric Analysis of Household Portfolio Allocation

Denis Fougere, Christian Gourieroux, A, Tiomo and Alain Trognon

97-44: Optimal Investment with Taxes: An Optimal Control Problem with Endogenous Delay

Elyès Jouini, Pf. Koehl and Nizar Touzi

97-43: How to Stabilize Financial Markets before EMU ?

Antoine Frachot

97-42: Design Adaptive Pointwise Nearest Neighbor Regression

Emmanuel Guerre

97-41: Pricing in Incomplete Markets: An Equilibrium Approach

A, Bizid, Elyès Jouini and Pf. Koehl

97-40: Estimating Weak Garch Representations

Christian Francq and Jean-Michel Zakoian

97-39: Estimating Preferences under Risk: The Case of Racetrack Bettors

Bruno Jullien and Bernard Salanié

97-38: Economic Structure and Local Growth: An Econometric Study on France, 1984- 1993

Pierre-Philippe Combes

97-37: Optimal Antitrust Policy Under Different Regimes of Fines

Saïd Souam

97-36: Truncated Dynamics and Estimation of DiffusionEquations

Serge Darolles and Christian Gourieroux

97-35: Moment Estimation with Attrition

John Abowd, Bruno Crépon and Francis Kramarz

97-34: Modèles de comptage semi-paramétriques

Christian Gourieroux and Alain Monfort

97-33: Econometric Specification of the Risk Neutral Valuation Model

E, Clement, Christian Gourieroux and Alain Monfort

97-32: Une analyse économique des signes de qualité": labels collectifs et certification des produits"

Laurent Linnemer and Anne Perrot

97-31: Implicit Prices and Recursivity of Agricultural Household's Decisions

Sylvie Lambert and Thierry Magnac

97-30: Production Functions: The Search for Identification

Zvi Griliches and Jacques Mairesse

97-29: Multiple Steady States and Endogenous Fluctuations with Increasing Returns to Scale in Production

Guido Cazzavillan, Teresa Lloyd-Braga and Patrick Pintus

97-28: Capital-Labor Substitution and Competitive Nonlinear Endogenous Business Cycles

Jean-Michel Grandmont, Patrick Pintus and R, De Vilder

97-27: Expectations Formation and Stability of Large Socioeconomic Systems

Jean-Michel Grandmont

97-26: Eaton's Markov Chain, its Conjugate Partner and P-admissibility

James P, Hobert and Christian P, Robert

97-25: New Technologies, Wages and Worker Selection

Horst Entorf, Michel Gollac and Francis Kramarz

97-24: Les modèles de transmission intergénérationnelle

Anne Laferrere

97-23: Intergenerational Transmission Models:A Survey

Anne Laferrere

97-22: Equilibrium Urban Unemployment

Etienne Wasmer and Yves Zenou

97-21: Methods of Pay, Worker Selection, and Minimum Wage

Lp. Pele

97-20: Asymptotic Properties of HPD Regions in the Discrete Case

Judith Rousseau

97-19: Covariance Matrix Estimation for Estimators of Mixing Wold's Arma

Christian Francq and Jean-Michel Zakoian

97-18: Coverage Properties of One-Sided Intervals in the Discrete Case and Application to Matching Priors

Judith Rousseau

97-17: Bayesian Variable Selection in Qualitative Models by Kullback-Leibler Projections

Ja Dupuis and Christian P, Robert

97-16: Insurance Contracts with Imprecise Probabilities and Adverse Selection

Meglena Jeleva and Bertrand Villeneuve

97-15: Competition for Jobs in a Growing Economy and the Emergence of Dualism

Etienne Wasmer

97-14: Imperfect Estimation of the Loss and Non-Linear Costs: The Optimal Design of Insurance Contracts

S, Spaeter

97-13: Optimal Insurance Policies when Prudence and Non-Linear Costs are Jointly Considered

S, Spaeter

97-12: Intermodal Competition, Firms' Location and Asymmetries in Regional surpluses

Pierre-Philippe Combes and Laurent Linnemer

97-11: Testing for Asymmetric Information in Insurance Markets

Pierre Chiappori and Bernard Salanié

97-10: Inégalités et cycles de vie les liens entre consommation, patrimoine et revenu permanent

Stéfan Lollivier and D, Verger

97-09: Equilibrium Search with Productivity Dispersion: Theory and Estimation

Christian Bontemps, Jean-Marc Robin and Gerard van den Berg

97-08: Estimation in Large and Dissagregated Demand Systems: An Estimator for Conditionally Linear Systems

Richard Blundell and Jean-Marc Robin

97-07: Viability and Equilibrium in Securities Markets with Frictions

Elyès Jouini and Hédi Kallal

97-06: The Portfolio Composition of Households: A Scoring Analysis from French Data

Christian Gourieroux, A, Tiomo and Alain Trognon

97-05: Price Functionals with Bid-Ask Spreads: An Axiomatic Approach

Elyès Jouini

97-04: Dynamiques tronquées et estimation de modèles de diffusion

Serge Darolles and Christian Gourieroux

97-03: Contemporaneous Asymmetry in GARCH Processes

M, El Babsiri and Jean-Michel Zakoian

97-02: One-Step Prediction of Chaotic Time Series by Multivariate Reconstruction

Francesco Lisi

97-01: The Informational Content of Household Decisions

Georges Dionne, Christian Gourieroux and Charles Vanasse