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ECONOMETRICS OF COUNT DATA : THE A.L.D.P. MODEL.

GOURIEROUX, C.; MONFORT, A. - 1989

Persistent link: https://www.econbiz.de/10005486748

Changes in Job Stability and their Causes : An Empirical Analysis Method applied to France, 1982-2000.

Givord, P.; Maurin, E. - 2001

In this paper, we analyse the changes in the risks of involuntary job loss in France between 1982 and 2000. Our analysis suggests that these risks are structurally higher in the 1990s than they were in the 1980s for both high and low-seniority workers.

Persistent link: https://www.econbiz.de/10005486750

Nonlinear Innovations and Impulse Responses.

Gourieroux, C.; Jasiak, J. - 1999

This paper introduces a notion on nonlinear innovation for the ananlysis of nonlinear dynamics. We show that nonlinear processes can be represented as functions of current and lagged values of nonlinear innovations.

Persistent link: https://www.econbiz.de/10005486765

Sensitivity Analysis of Values at Risk.

Gourieroux, C.; Laurent, J.P.; Scaillet, O. - 2000

The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We … derive analytical expresssions for the first and second derivatives of the Value at Risk, and explain how they can be used to … simplify statistical inference and to perform a loval analysis of the Value at Risk. An empirical illustration of such an …

Persistent link: https://www.econbiz.de/10005486768

Asymmetric Smiles, Leverage Effects and Structural Parameters.

Garcia, R.; Luger, R.; Renault, E. - 2000

In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state variables.

Persistent link: https://www.econbiz.de/10005486770

Estimating Preferences under Risk: The Case of Racetrack Bettors

Jullien, B.; Salanie, B. - 1997

We investigate in this paper the attitudes towards risk of bettors in British horse races. The model we use allows us … of local risk-aversion similar to that proposed by Friedman-Savage. …

Persistent link: https://www.econbiz.de/10005486785

Econometric Specification of the Risk Neutral Valuation Model

Clement, E.; Gourieroux, C.; Monfort, A. - 1997

paper is to reconcile risk neutral valuation and statistical inference. For this purpose we justofy an approach based on a … stochastic risk-neutral measure. …

Persistent link: https://www.econbiz.de/10005486795

The Effects of Employment Protection on the Choice of Risky Projects.

Glazer, A.; Kanniainen, V. - California Irvine - School of Social Sciences - 2000

that is subject to no employment protection, a firm constrained in firing will prefer a risk-free project over a risky one …

Persistent link: https://www.econbiz.de/10005486834

Does Hollywood make too many R-Rated Movies? Risk, Stochastic Dominance, and the Illusion of Expectation.

De Vany, A.; Walls, W.D. - California Irvine - School of Social Sciences - 2000

This paper estimates the probability distribution of budgets, revenues, returns and profits to G-, PG-, PG13-, and R-rated movies. The distributions are non-Gaussian and show a self-similar stable Paretian form with non-finite variance and non-stationary mean.

Persistent link: https://www.econbiz.de/10005486841

The Role of a Variable Input in the Relationship Between Investment and Uncertainty.

Lee, J.; Shin, K. - California Irvine - School of Social Sciences - 1997

For a perfectly competitive firm with a constant returns to scale techenology, a greater price uncertainty has been shown to increase investment even in the presence of irrecersible investment. We show, however, that the option value generated by a one-time fixed cost can cause increasibg...

Persistent link: https://www.econbiz.de/10005486850