The empirical saddlepoint distribution provides an approximation to the sampling distributions for the GMM parameter estimates and the statistics that test the overidentifying restrictions. The empirical saddlepoint distribution permits asymmetry, non-normal tails, and multiple modes. If...

Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems particularly acute for derivative markets where traders rely heavily on a specific empirical model. Asset pricing and trading, in these cases, are intrinsically model dependent....

By solving an incomplete-markets model of multiperiod bond pricing {\it backwards}, we show that the mean and autocorrelation properties of the term premiums in the yield curve can be a reflection of the temporal distribution of uninsurable income shocks, {\it i.e.}, the term structure of...