Complementary health insurance plays an increasing role in the French health care system. In this context, identifying individual preferences regarding complementary coverage is crucial to insurance companies as well as public authorities. This paper uses data provided by a major health...

The article offers an illustration of the respective role of institutions and contracts and their interactions in the coordination process of contracting parties, drawing upon an empirical analysis of defense procurement contracts in France. The articles seeks to provide an explanation of the...

In this paper we review contracting issues raised by a government’s decision to contract out activities linked to public services, as well as highlighting potential future research avenues. We first review the different kinds of contracting arrangements and public private partnerships used by...

This article analyses, for the first time, the financial impact on the French market of September 11th, 2001. Was there any information asymmetry around this date? How deep was the reaction of the French investors? This study measures the magnitude of the shock in the stock price process.

Outliers can lead to model misspecifications, poor forecasts and invalid inferences. Their identification and correction is therefore an important objective of financial modeling. This paper introduces a simple method to detect outliers in a financial series. It uses an AR(1)–GARCH(1,1) model...

We empirically investigate the impact of option listing on the underlying stock efficiency by looking at the volume-volatility relation of underlying stock. We use a time- consistent bivariate VAR (Vector Autoregressive Regression) model that includes time duration between trades. This model...

Developing term structure models can be tricky, as unknown factors and non-observable variables can affect futures prices. But principal components analysis is useful in tackling these problems. Here, Delphine Lautier uses PCA to pin down price movements, test their stability over time and to...

This article analyses long-term dynamic hedging strategies relying on term structure models of commodity prices and proposes a new way to calibrate the models which takes into account the errors associated to the hedge ratios. Different strategies, with maturities up to seven years, are tested...

Emerging economies and especially the BRICS countries have strong economic ties with the euro area. In addition, the financial crisis in the euro area may have effects on other markets or areas, especially those of the main emerging markets. Credit default swap (CDS) spreads are relevant...