A recent literature in finance concerns a curious recurring feature of estimated pricing kernels. Classical theory dictates that the pricing kernel { defined loosely as the ratio of Arrow security prices to an objective probability measure { should be a decreasing function of aggregate...

We study the dependence properties of stationary Markov chains generated by Archimedean copulas. Under some simple regularity conditions, we show that regular variation of the Archimedean generator at zero and one implies geometric orgodicityof the associated Markov chain. We verify our...

We consider writing a derivative contract on some underlying asset in such a way that the derivative contract and underlying asset yield the same payo� distribution after one time period. Using the Hardy-Littlewood rearrangement inequality, we obtain an explicit solution for the cheapest...

Economic and financial time series frequently exhibit time irreversible dynamics. For instance, there is considerable evidence of asymmetric fluctuations in many macroeconomic and financial variables, and certain game theoretic models of price determination predict asymmetric cycles in price...

We study the asymptotic properties of a class of statistics used for testing the null hypothesis that an ordinal dominance curve is concave. The statistics are based on the Lp-distance between the empirical ordinal dominance curve and its least concave majo- rant, with 1 ≤ p ≤...

Suppose that X and Y are random variables. We define a replicating function to be a function f such that f(X) and Y have the same distribution. In general, the set of replicating functions for a given pair of random variables may be infinite. Suppose we have some objective function, or cost...

An emerging literature in time series econometrics concerns the modeling of potentially nonlinear temporal dependence in stationary Markov chains using copula functions. We obtain sucient conditions for a geometric rate of mixing in models of this kind. Geometric beta-mixing is established under...