We develop a new completely affine model of the term structure of interest rates, in which the statevariables evolve as a matrix-valued process of stochastically correlated factors. This setting grants a newelement of flexibility in the simultaneous modeling of stochastic volatilities and...

We develop infinitesimally robust statistical procedures for general diffusion pro-cesses. We first prove existence and uniqueness of the times series influence functionof conditionally unbiased M{estimators for ergodic and stationary diffusions, underweak conditions on the (martingale)...

This paper studies the Cass-Koopmans-Ramsey model of optimal economic growth with a representative agent whose preferences for consumption can be gradually varied between the standard CES case and Kahneman and Tversky's prospect utility. The numerical analysis of a specific parametrization shows...

This paper studies the asset pricing implications of a general equi-librium model in which real investment is reversible at a cost. Firmsface higher costs in contracting than in expanding their capital stockand decide to invest when their productive capital is scarce relativeto the overall...

Filtrations have been introduced by Doob and have been a fundamentalfeature of the theory of stochastic processes. Most basic objects, such asmartingales, semimartingales, stopping times or Markov processes involvethe notion of filtration.[...]

In 1992 Russia unified the multiple exchange rates that had applied to international transactions. This paper describes the multiple exchange rate system that existed in Russia prior to mid-1992 and undertakes a theoretical exploration of the effects of the exchange rate unification that took...