This paper studies a classical extension of the Black and Scholes model of option pricing, often known as the Hull and White model. Our specificity is that the volatility process is assumed not only to be stochastic, but also to have long memory features and properties. We study here the...

We prove that the recently proposed informational herding models are but special cases of a standard single person experimentation model with myopia. We then re-interpret the incorrect herding outcome as a familiar failure of complete learning in an optimal experimentation problem.

In the framework of regression, consider the set of regression submodels. By submodel, we mean on e or more response variables and a subset of the potential regressors. Imagine the submodels as a ponts in some space. How can we "project" these ponts onto a map so as to visualize and compare...

This article gives results specifically related to the last principal component. This linear combination of variables plays an important role when one tries to fit a hyperplane to a cloud of points. In data analysis, variables are often subject to a linear transformation. The results that we...

The paper proposes an original class of conditionally heteroskedastic models aimed to capture a new concept of asymmetry. Not only past up and down moves of stock market returns have different impacts on the conditional variance, but also, positive and negative changes are governed by different...

An extremely simple proof of the K-K-M-S Theorem is given involving only Brouwer's fixed point theorem and some elementary calculus.

We investigate the stability problem for a nonlinear autoregressive model with Markov switching. First we give conditions for the existence and the uniqueness of a stationary ergodic solution. The existence of moments of such a solution is then examined and we establish a strong law numbers for...

We consider a nonparametric random design regression model in which the response variable is possibly right censored. The aim of this paper is to estimate the conditional destribution function and the conditional x-quantile of the response variable. We restrict attention to the case where the...