Ce Papier Examine Si des Chocs de Productivite Peuvent Reproduire la Correlation Tres Elevee Entre L'investissement et L'epargne Nationale Que L'om Trouve, Pour les Paus Industrialises, Dans un Modele Avec la Mobilite Parfaite des Capitaux et Aussi En Presence D'autres Types de Chocs. L'economie...

The paper investigates the pricing of derivative securities with calendar-time maturities.

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...

This paper prepared for the Handbook of Statistics (Vol.14: "Statistical Methods in Finance"), surveys the subject of stochastic volatility. The following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and...

The Purpose of This Paper Is to Measure the Impact on Developing Countries of Subsidized Export Credits Extended by the Industrialized Countries. This Impact Is Shown to Be a Function of the Incidence of the Subsidy Between the Exporter and the Importer and Its Bearing on Relative Product and...