To implement continuous time option pricing models in which ARCH models can be used as direct or indirect approximators of stochastic volatility, we construct continuous time economies exhibiting equilibrium dynamics to which most asymmetric ARCH models converge in distribution as the sample...

The purpose of this paper is to study unfunded social security systems in the framework of an economy submitted to demographic and technological shocks. The emergence of transfers between generations rests on a motive of rreal and possible inequalities correction or on a portfolio choice.

We analyse the efficiency of output and input incentives schemes in an agency model in both cases of certain and uncertain production.

In this paper we use a Threshold AutoRegressive (TAR) model to capture the non-linear dynamics of 7 real effective exchange rates, defines for the recent floating period. The so-called real exchange rate -real interest rate model is exploited in a novel way to define the thresholds.