This paper proposes to review some recent developments in Bayesian statistics for high dimensional data. After giving some brief motivations in a short introduction, we describe new advances in the understanding of Bayes posterior computation as well as theoretical contributions in non...

Narendra-Shapiro (NS) algorithms are bandit-type algorithms that have been introduced in the sixties (with a view to applications in Psychology or learning automata), whose convergence has been intensively studied in the stochastic algorithm literature. In this paper, we adress the following...

This paper explores empirically the link between stocks returns Value-at-Risk (VaR) and the state of financial markets across various holding horizons. The econometric analysis is based on a self-exciting threshold autoregression setup. Using quarterly French and US data from 1970Q4 to 2012Q4,...

This paper develops a theory of sequential investments in cybersecurity in which the software vendor can invest ex ante and ex post. The regulator can use safety standards and liability rules as means of increasing security. A standard is a minimum level of safety, and a liability rule states...

This paper studies a dynamic two-sided market in which consumers face switching costs between competing products. I first show that, in a symmetric equilibrium, switching costs lower the first-period price if network externalities are strong. By contrast, switching costs soften price competition...

The New Empirical Industrial Organization (NEIO) literature allows to analyze competition, market power and welfare implications of public policies. This literature is based on the estimation of consumer substitution patterns, that is on the estimation of demand models. Standard discrete choice...

Derivatives activity, motivated by risk-sharing, can breed risk taking. Bad news about the risk of the asset underlying the derivative increases the expected liability of a protection seller and undermines her risk prevention incentives. This limits risk-sharing, and may create endogenous...

Carbon capture and sequestration (CCS) can help to mitigate the climate change transition. Usually, in models where the atmospheric carbon stock is constrained by an institutional stabilization cap and under constant average CCS cost, the use of CCS must be delayed up to the time at which the...