We estimate the parameter of a stationary time series process by minimizing the integrated weighted mean squared error between the empirical and simulated characteristic function, when the true characteristic functions cannot be explicitly computed. Motivated by Indirect Inference, we use a...

The long-run consumption risk model provides a theoretically appealing explanation for prominent asset pricing puzzles, but its intricate structure presents a challenge for econometric analysis. This paper proposes a two-step indirect inference approach that disentangles the estimation of the...

The long-run consumption risk model provides a theoretically appealing explanation for prominent asset pricing puzzles, but its intricate structure presents a challenge for econometric analysis. This paper proposes a two-step indirect inference approach that disentangles the estimation of the...

The long-run consumption risk model provides a theoretically appealing explanation for prominent asset pricing puzzles, but its intricate structure presents a challenge for econometric analysis. This paper proposes a two-step indirect inference approach that disentangles the estimation of the...

The long-run consumption risk model provides a theoretically appealing explanation for prominent asset pricing puzzles, but its intricate structure presents a challenge for econometric analysis. This paper proposes a two-step indirect inference approach that disentangles the estimation of the...

This paper provides a vertically integrated modelling of the financial production process. In a first stage the activity of commercial banks or insurance companies embodies some technical and commercial aspects such as services to depositors or mutualization of risk through distribution of...