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...

In microeconomic, the individual differences are taken into account by the introduction of explanatory variables but also by means of the parameters of interest. This parameter of heterogeneity is in general described by the p.d.f. of the parameter among the individuals (heterogeneity...

This paper introduces impulse response analysis for nonlinear processes based on the concept of nonlinear innovation. Our approach borrows from the traditional linear impulse response analysis in that we consider shocks to innovations of a process. It also extends the methods of nonlinear...

The aim of this paper is the aggregation of AR (1) processes. We determine the dynamic models satisfied by the aggregated series and we characterize all the series which may be interpreted as such an aggregate. We study more carefully the case of a bêta heterogeneity distribution. In particular...

The aim of this paper is to characterize the one-dimensional stochastic differential equations, for which the eigenfunctions of the infinitesimal generator are polynomials in y. Affine transformations of the Ornstein-Uhlenbeck process, the Cox-Ingersoll-Ross process and the Jacobi process belong...

We present some properties concerning heterogeneity using as illustrations duration data models. We first study the links between aggregate and disaggregate concepts. This allows to give some precise definitions of the heterogeneity biases and of the mover stayer phenomenon. We also introduce...

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...

One major topic in empirical studies on Finance is the correlation of default risk. Correlation is a main driver for credit risk on a credit portfolio and for bank's capital requirement under the Basel II Accord. However, empirical evidence on the magnitude of correlation is rather scarce,...