The purpose of the paper is to propose an autocorrelogram estimation procedure for irregularly spaced data which are modelled as subordinated continuous time series processes. Such processes, also called time deformed stochastic processes, have been discussed in a variety of contexts. Before...

Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor...

We consider the problem of testing whether the observations X1, · · ·, Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed:...

Here we derive the asymptotic distribution of an arbitrary vector of residual cross-correlations resulting from the fitting of finite autoregressions to two uncorrelated infinite order vector autoregressive series. Its asymptotic distribution is the same multivariate normal as the one of the...

This paper provides a statistical analysis of the forecasts of significant number of expenditure and revenue components of the Federal budget provided each year by the Department of Finance. The sample available for such an investigation is limited and we describe an easily-applied nonparametric...

In this text, we review some recent developments in econometrics that may be of interest to specialists in other areas than economics, and we discuss some relations of econometric methodology with general themes of scientific methodology and philosophy of science, such as the falsifiability...

In this paper, we study several tests for the equality of two unknown distributions. Two are based on empirical distribution functions, three others on nonparametric probability density estimates, and the last ones on differences between sample moments. We suggest controlling the size of such...

We estimate a generalized option pricing formula that has a functional shape similar to the usual Black-Scholes formula by a feedforward neural network model. This functional shape is obtained when the option pricing function is homogeneous of degree one with respect to the underlying asset...

In this paper we propose a generic procedure for estimating and pricing options in the context of stochastic volatility models using simultaneously the fundamental price and a set of option contracts. We appraise univariate and multivariate estimation of the model in terms of pricing and hedging...

Unlike European-type derivative securities, there are no simple analytic valuation formulas for American options, even when the underlying asset price has constant volatility. The early exercise feature considerably complicates the valuation of American contracts. The strategy taken in this...