We extend PML theory to account for information on the conditional moments up to order four, but without assuming a parametric model, to avoid a risk of misspecification of the conditional distribution. The key statistical tool is the quartic exponential family, which allows us to generalize the...

We extend PML theory to account for information on the conditional moments up to order four, but without assuming a parametric model, to avoid a risk of misspecification of the conditional distribution. The key statistical tool is the quartic exponential family, which allows us to generalize the...

Whatever the econometric model which we study; any simulation requires a perfectly definite DGP. Thus, even if all software can generate standard normal distributions, we need methods not programmed to control higher moments. For all these methods, we need to estimate the parameters connected to...

The bargaining power of international banks is currently still very high as compared to what it was at the time of the Bretton Woods conference. As a consequence, systemic financial crises are likely to remain recurrent phenomena with large effects on macroeconomic aggregates. Mainstream...

The purpose of this chapter is thus to review the concept of peak oil, critique its main propositions and assess the arguments advanced by oil optimists against those of peak oil. The paper begins with a presentation of the Hubbert peak theory and of some recent applications of the theory at the...

Among technological options to mitigate greenhouse gas (GHG) emissions, Carbon Capture and Storage technology (CCS) seems particularly promising. This technology allows to keep on extracting polluting fossil fuels without drastically increasing CO2 atmospheric concentration. We examine here a...

We study a mean-field version of rank-based models of equity markets such as the Atlas model introduced by Fernholz in the framework of Stochastic Portfolio Theory. We obtain an asymptotic description of the market when the number of companies grows to infinity. Then, we discuss the long-term...

We revisit the model proposed by Gollier and Muermann (see Gollier, C. and A. Muermann, 2010, Optimal choice and beliefs with exante savoring and ex-post disappointment, Management Sci., 56, 1272-1284, hereafter GM). In GM, for a given lottery, agents form anticipated expected payoffs and the...