We investigate a class of semiparametric ARCH models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We show that the...

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for the discount function although we do show how to impose various restrictions...

Please see the more recent version of this paper titled: The Dynamics of Default and Debt Reorganization. This paper documents the fact that in the presence of direct bankruptcy costs, prior to bankruptcy, it becomes in creditors collective interest to reduce their own contractual cash-flow...

This paper describes the relationship between bounded rationality and risk aversion. It shows athat bounded rationality increases risk aversion at the reference income level and that there exists an income level below the reference income level where bounded rationality reduces risk aversion and...

The paper analyzes the existence and impact of financing constraints as a possibly serious obstacle to innovation by .rms. Direct measures of financing constraints are employed using survey data collected by the Banque de France and the European Commission, which overcomes the problems with the...

The paper presents an analysis of the impact of pension plan funding on workers’ saving and portfolio behaviour. It shows that the impact of pension plan funding and asset allocation on the economy’s technology choices depends upon the constraints facing worker’s in the capital market. The...

We study the effect of the predictability of an assets return on the prices of options on that asset, for models in which returns are serially uncorrelated, yet predictable on the basis of a larger information set. We show that return predictability may matter in a discrete time world,...

This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate non-parametric functions...

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The model considered here is essentially that formulated in the authors previous paper Conditions for Optimality in the Infinite-Horizon Portfolio-cum Saving Problem with Semimartingale Investments, Stochastics 29 (1990) pp.133-171. In this model, the vector process representing returns to...