This article is concerned by testing the nullity of coefficients in GARCH models. The problem is nonstandard because the quasi-maximum likelihood estimator is subject to positivity constraints. The paperestablishes the asymptotic null and local alternative distributions of Wald, score, and...

In this paper we propose a family of discrete-time term structure models where we specify a Gaussian autoregressiveof order p 1 historical and risk-neutral dynamics for the factor (xt), considered as a latent or observable variable: inthe second case the factor is a vector of several yields. We...

The efficiency of two Bayesian order estimators is studied underweak assumptions. By using nonparametric techniques, we prove newnonasymptotic underestimation and overestimation bounds. The boundscompare favorably with optimal bounds yielded by the Stein lemmaand also with other known asymptotic...

This working paper proposes a study of the place that Frenchmenattribute to dinnertime in relation to their evening and other activities. Theanalysis uses data from surveys conducted by INSEE in 1986 and 1998. Wepropose as analytical basis for the study to use sequential analysis of the periodin...