In this paper we introduce the Extended Method of Moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM differs from the GMM in that it can handle not only uniform...

The aim of this paper is to characterize the one-dimensional stochastic differential equations, for which the eigenfunctions of the infinitesimal generator are polynomials in y. Affine transformations of the Ornstein-Uhlenbeck process, the Cox-Ingersoll-Ross process and the Jacobi process belong...

In this paper we propose causality measures based on the Kullback Information Criterion. These causality measures are applicable in a general context which contains, as special cases, the stationary autoregressive case, considered by GEWEKE, and qualitative models. Estimators of these measures...

In this paper we are interested in inference problems on the matrix of coefficients in a multivariate linear model; in particular we consider tests on the kernel, the range and the rank of this matrix. Various test procedures are explicited and compared: (pseudo) likelihood ratio, Wald (or...

This article deals with the estimation of the parameters of an -stable distribution by the indirect inference method with the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate for an auxiliary model since it has the same number of parameters as the...

An important class of structural econometric models (nonlinear rational expectations, option pricing, auction models, ...) characterize observable variables as highly nonlinear transforma- tions of some latent variables. These transformations are one-to-one, but they depend on the unknown...

This paper contains a survey of the recent literature on the class of stochastic volatility models in finance, with an emphasis on statistical modeling of volatility.

In this paper, we survey some of the recent nonparametric estimation methods which were developed to price derivative contracts. We focus on equity options and start with a so-called model-free approach which involves very little financial theory. Next we discuss nonparametric and...

We consider in this paper the interaction between precautionary savings and insurance demand. Under the standard intertemporal expected utility framework, the effect of an increase in the concavity of the utility function is ambiguous because of the inability of this framework to distinguish...