Globalization of trading in foreign exchange markets is a principal sourceof the daily and weekly seasonability in market volatility. One way to mo del such phenomena is to adopt a framework where market volatility is tiedto the intensity of (world) trading through a subordinated stochastic pro...

The bid and ask curves give the demand and supply prices as functions of the instantaneously traded volume. The aim of this paper is the definition, interpretation and intraday analysis of such bid-ask curves. We provide some illustrations from the Paris Bourse quote by quote data.

We study inference in continuous and discrete processes and propose new estimation procedures. Our approach consists on truncating the initial process what simplifies the estimation while preventing all relevant properties of the infinitesimal generator. For diffusion processes, nonparametric...

This paper studies the implications of absence of arbitrage in economies where: (i) trade takes place in transaction time, (ii) there is a single state variable whose transaction-time price path is binomial, (iii) there are riskfree bonds with calendar-time maturities, and (iv) the relation...

We introduce a class of nonlinear dynamic processes, called compound au- toregressive (CAR), and characterized by the conditional log-Laplace trans- forms which are aÆne functions of the lagged values of the process. The CAR processes resemble the linear autoregressive processes in that their...

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

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...

Dans cet article, pour etendre la theorie du consommateur a ses choix d'epargne et de placements, on utilise a la fois la theorie usuelle, celle des caracteristiques et celle du raisonnement quantitatif. on en deduit un systeme complet de demandes comprenant simultanement les quantites de biens...

The paper investigates the pricing of derivative securities with calendar-time maturities.