We address the general issue of econometric specifications of dynamic asset pricing models, which cover the modern literature on conditionally heteroskedastic factor models as well as equilibrium-based asset pricing models with an intertemporal specification of preferences and market fundamentals.

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

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

The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the appropriate conditional variance concept: conditional variance given past values of the same series or conditional variance given a larger past information (including possibly...

This paper is interested in small sample properties of the indirect inference procedure which has been previously studied only from an asymptotic point of view. First, we highlight the fact that the Andrews(1993) median-bias correction procedure for autoregresssive parameter of an AR(1) process...

This paper studies a classical extension of the Black and Scholes model for 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.

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...