In this paper we are interested in inference problems on the matrix of coefficients in a multivariate linear model; in particular we consider tests on the kernel, the range and the rank of this matrix. Various test procedures are explicited and compared: (pseudo) likelihood ratio, Wald (or...

The difficulties in estimating continuous time interest rate models stem in large parts from measurement problems. The observations are in discrete time and the infinitesimal rate is unobservable and replaced by an observed short term rate with non infinitesimal time-to-maturity. These two...

The aim of this paper is the determination of the term structure of interest rates from observations of the prices of fixed-income bonds. We first introduce factor models to describe the evolution of prices of zero-coupon bonds, and we derive the constraints induced by the arbitrage free...

In this paper we propose causality measures based on the Kullback Information Criterion. These causality measures are applicable in a general context which contains, as special cases, the stationary autoregressive case, considered by GEWEKE, and qualitative models. Estimators of these measures...

The exponential affine pricing principle is applied to the family of skewed Laplace historical distributions. The risk-neutral distribution is shown to belong to the same family and a closed form pricing formula for a European call is derived. This formula is a direct competitor of the...

In this paper we discuss the usefulness, for models with heterogeneity, of simulation techniques in inference procedures, like maximum likelihood method, generalized moments method or pseudo maximum likelihood methods. These procedures are studied from the point of view of consistency,...

We consider dynamic models for analysing the holding rates of some durable goods, and especially for describing how these rates react to some modifications of prices. The feature of this paper is the introduction of individual heterogeneity. It allows to examine how the good will diffuse among...

This paper examines causality between the series of returns and transaction volumes in high frequency data. The dynamics of both series is restricted to transitions between a finite number of states. Depending on the state selection criteria, this approach approximates the dynamics of varying...

High frequency transaction prices exhibit two major characteristics: they are discrete in level and only exist at random transaction dates. In this paper, we seek to model transaction price dynamics, taking into account these two features. We specify the transaction price process as a Markov...