We propose a novel methodology for forecasting chaotic systems which is based on the nearest-neighbor predictor and improves upon it by incorporating local Lyapunov exponents to correct for its inevitable bias. Using simulated data, we show that gains in prediction accuracy can be substantial....

A general framework is suggested to describe human decision making in a certain class of experiments performed in a trading laboratory. We are in particular interested in discerning between two different moods, or states of the investors, corresponding to investors using fundemental investment...

We propose a nouvel methodology for forecasting chaotic systems which uses information on local Lyapunov exponents (LLEs) to improve upon existing predictors by correcting for their inevitable bias. Using simulations of the Rössler, Lorenz and Chua attractors, we find that accuracy gains can be...

Avec son objectif affiché d'éliminer la pauvreté en France, l' « allocation personnelle » explore une nouvelle approche institutionnelle de l'assistance. Pour mieux saisir en quoi cette proposition rompt avec les pratiques existantes ou en débat, ce texte vise à situer le dispositif de l'...

Using French data, we show that ELIE performs rather weakly when it comes to addressing the issue of poverty. Yet, eliminating poverty is also a valid normative property of any redistribution mechanism. We suggest combining ELIE with another redistributive solution aimed specifically at...

Are structural breaks models true switching models or long memory processes ? The answer to this question remain ambiguous. A lot of papers, in recent years, have dealt with this problem. For instance, Diebold and Inoue (2001) and Granger and Hyung (2004) show, under specific conditions, that...

Regulation and Risk management in banks depend on underlying risk measures. In general this is the only purpose that is seen for risk measures. In this paper, we suggest that the reporting of risk measures can be used to determine the loss distribution function for a financial entity. We...

In this paper, we present a procedure that tests for the null of time-homogeneity of the first two moments of a time-series. Whereas the literature dedicated to structural breaks testing procedures often focuses on one kind of alternative, i.e. discrete shifts or smooth transition, our procedure...

In this paper, nine memory parameter estimation procedures for the fractionally integrated I(d) process, semi-parametric and parametric, which prevail in the existing literature are reviewed ; through the simulation study under the ARFIMA (p,d,q) setting we cast a light on the finite sample...

This paper focuses on a procedure to test for structural changes in the first two moments of a time series, when no information about the process driving the breaks is available. To approximate the process, an orthogonal Bernstein polynomial is used and testing for the null is achieved either by...