We focus on the concept of impulse in econometrics analysis of time series. We recognize two useful characterizations, which are respectively deterministic and stochastic.

We present a general framework for understanding the transition from local regular to global irregular (chaotic) behavior of nonlinear dynamical models in discrete time. The fundamental mechanism is the unfolding of quadratic tangencies between the stable and the unstable manifolds of periodic...

This paper investigates the role of probability conditionals in hypothetical reasoning and rational decision making. Its main result is a proof of a representation theorem for preferences defined on sets of sentences (and, in particular, conditional sentences), where an agent's preference for...

Gollier and Kimball (1994, 1996) have developed a standard technique based on the diffidence theorem. This theorem provides a very simple instrument to solve relatively sophisticated problems when preferences are state independent. The object of this article is to show that their theorem is also...

We analyze the joint convergence of sequences of discounted stock prices and the Radon-Nicodym derivatives of the minimal martingale measure when interest rates are stochastic. Therefrom we deduce the convergence of option values in either complete or incomplete markets. We particularize the...

In this paper, we estimate a reliable fundamental value of the S&P index, standing for a long run target value in Error-Correcting Modelling of the dynamics of the subsequnet returns. The present Value Model suggests two fundamentals: the dividends and a discount rate factor, specified as a...

We study the effect of riskiness on optimal portfolio. As discussed by Levy (1992), the main drawback of the standard model witg ine decision variable and one risky asset developed over the last twenty-five years, following the contributions of Rothschild and Stiglitz (1970,1971) and Hadar and...

In the setting of incomplete markets, this paper presents a general result of weak convergence for derivative assets prices. It is proved that the minimal martingale measure first introduced by Follmer and Schweizer is a convenient tool for the stabilization under convergence. This extends...