We are interested in the evolution of the equilibrium price of a stockable commodity which can be demanded for speculative purposes. Using a model "à la Grossman", we determine all the possible price evolutions and we analyse the effect of the structural parameters on the growth of speculative...

We introduce a general to specific approach suitable for panel data. We are led to perform singular value decompositions based on a multivariate variance analysis equation, in which the individual and time effects are explicitely taken into account. This methodology is applied to the analysis of...

In this paper, we introduce a new class of models for count endogenous variables, i.e. the additive log-differentiated probability models (ALDP). This class is similar to the semi-parametric proportional hazard models used for duration data, and has some interesting implications in terms of...

We extend the ideas of cointegration theory to the case of stationary series, by introducing the notions of persistence degree and of codependence vectors. These give the directions which are the less sensitive to the shocks. Then these notions are applied to the study of relative purchasing...

We discuss the econometric features of securitization: descriptive or structural analysis of prepayment behaviours, consequences on the pricing of mortgage backed securities. We insist on the distinction between disaggregated approaches based on individual loans, and aggregated ones based on...

We discuss the main opened questions related to credit risk, that is the default risk of a borrower. These questions concern the prediction of default (term structure of default, default correlation, recovery rate, determination of the required capital), the pricing of debts (according to risk...

We want to test the ability of conditional and non-conditional CAPM models to explain the returns on emerging markets as a function of their integration with world markets. We use data on 16 developed markets and 10 emerging markets together with data on the Casablanca Stock Exchange (CSE)...