This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not...

In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only...

Le But de Cette Note de Recherche Consiste a Tracer un Parallele Entre la Montee de L'epargne des Particuliers au Canada et les Deficits Budgetaires Eleves et Persistants du Gouvernement Federal. Contrairement au Deficit du Gouvernement Americain, le Deficit du Gouvernement Canadien Semble...