Working Papers

From Center for Research in Economics and Statistics
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98-16: MCMC Convergence Diagnostics: A « Reviewww »

Chantal Guihenneuc-Jouyaux, Kerrie L, Mengersen and Christian P, Robert

98-15: Matching Procedures and Market Characteristics

Christian Gourieroux and Gaelle Le Fol

98-14: Temps Aléatoire et Dynamique du Carnet d’ordres

Cécile Boyer and Gaelle Le Fol

98-13: Functional Law of the Iterated Logarithm for Kiefer Processes

Ludovic Menneteau

98-12: Should More Risk-Averse Agents Exert More Effort

Bruno Jullien, Bernard Salanié and François Salanié

98-11: Capital Income Taxation, Wealth Distribution and Borrowing Constraints

Christophe Chamley

98-10: Risk Aversion, Intertemporal Substitution, and Option Pricing

René Garcia and Eric Renault

98-09: Social Learning, Delays, and Multiple Equilibria

Christophe Chamley

98-08: MCMC Control Spreadsheets for Exponentiel Mixture Estimation

Marie-Anne Gruet, Anne Philippe and Christian P, Robert

98-07: Adaptive Estimation in an Autoregression and a Geometrical b -Mixing Regression Framework

Yannick Baraud, Fabienne Comte and Gabrielle Viennet

98-06: Optimal Rate for Nonparametric Estimation in Deterministic Dynamical Systems

Emmanuel Guerre and Jules Maes

98-05: Convergence Controls for MCMC Algorithms with Applications to Hidden Markov Chains

Christian P, Robert, Tobias Ryden and David M, Titterington

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