This article deals with the estimation of the parameters of an a-stable distribution with indirect inference, using the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate since it has the same number of parameters as the a-stable distribution, with...

Risk aversion functions extracted from observed stock and option prices can be negative, as shown by Aiuml;t-Sahalia and Lo (2000), Journal of Econometrics 94: 9-51; and Jackwerth (2000), The Review of Financial Studies 13(2), 433-51. We rationalize this puzzle by a lack of conditioning on latent...

In this paper we consider an incomplete market framework and explain how to use jointly observed prices of the underlying asset and some derivatives written on this asset for an efficient pricing of other derivatives. This question involves two types of moment restrictions, which can be written...

We provide a structural approach to disentangle Granger versus instantaneous causality effects from transaction durations to price volatility. So far, in the literature, instantaneous causality effects have either been excluded or cannot be identified separately from Granger type causality...

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.

This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not...

We address the general issue of econometric specifications of dynamic asset pricing models, which cover the modern literature on conditionally heteroskedastic factor models as well as equilibrium-based asset pricing models with an intertemporal specification of preferences and market fundamentals.

This paper develops a general stochastic framework and an equilibrium asset pricing model theat make clear how attitudes towards intertemporal substitution and risk matter for option pricing; In particular we show under which statistical conditions option princing formulas are not...

In this paper, we characterize the asymmetric of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework.