We discuss how to detect the informational content of household decisions among the explanatory variables of econometric models. Two applications to the choice of automobile insurance contracts and the demand for life insurance are provided. We show that the information provided by additional...

In this paper, we propose an empirical analysis of the presence of adverse selection in an insurance market. We first present a theroetical model of a market with adverse selection and we introduce different issues related to transaction costs, accident costs, risk aversion and moral hazard. We...

This paper introduces nonlinear dynamic factor models for various applications related to risk analysis. Traditional factor models represent the dynamics of processes driven by movements of latent variables, called the factors. Our approach extends this setup by introducing factors defined as...

The trading systems, used on financial markets, differ in terms of matching procedures, selected norms to write contracts, existence or not of intermediaries to ensure liquidity, market transparency... We are interested in measuring the direct effect on market specifics of a modification of the...

The paper presents a study of dependencies between the autocorrelation function and selected nonlinear transformations of time series. We examine parametric transformations and introduce an analysis of nonlinear canonical correlations. We also propose various methods of testing the...

In this note we propose a general testing procedure for parametric models based on Bartlett Identities.

We consider a kernel based approach to nonlinear canonical correlation analysis and its implementation for time series. We deduce various diagnostics for reversible processes and gaussian processes. The method is first applied to a stimulated series satisfying a diffusion equation allowing us to...