In this paper we provide a convenient econometric framework for the analy-sis of nonlinear dependence in financial applications. We introduce models withconstrained nonparametric dependence, which specify the conditional distrib-ution or the copula in terms of a one-dimensional functional...

The aim of this paper is to extend the results of Jarrow, Yu (2001) onthe spread term structures of corporate bonds. We first consider differentcharacterisations of these term structures, when the available informationcorresponds to the default histories of the firms. The approach is then...

We propose a class of new robust GMM tests for endogenous structural breaks. The tests are based on supremum and average statistics derived from robust GMM estimators with a bounded influence function. They imply a bounded linearized asymptotic bias of size and power under local model...

In this paper we investigate portfolio coskewness using a quadratic market model as return generating process. It is shown that portfolios of small (large) firms have negative (positive) coskewness with market. An asset pricing model including coskewness is tested through the restrictions it...

This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...

We study the asymptotic properties of a Tikhonov Regularized (TiR) estimator of a functional parameter based on a minimum distance principle for nonparametric conditional moment restrictions. The estimator is computationally tractable and takes a closed form in the linear case. We derive its...

In this paper, we consider an incomplete market framework and explain how to use jointly observed prices of the underlying asset and of some derivatives written on this assetfor an efficient pricing of other derivatives. This question involves two types of moment restrictions, which can be...

The aim of this paper is to explain why cross-sectional estimated migration correlations displayed in the academic and professional literature can be either not consistent, or inefficient, and to discuss alternative approaches. The analysis relies on a model with stochastic migration in which...

In this paper we explain how to use rating histories provided by the internal scoring systems of banks and by rating agencies in order to predict the future risk of a set of borrowers. The method is developed following the steps suggested by the Basle Committee. To introduce both migration...

We provide a convenient econometric framework for the analysis of nonlinear dependence in financial applications. We introduce models with constrained nonparametric dependence, which specify the conditional distribution or the copula in terms of a one-dimensional functional parameter. Our...