As this terse historical sketch should make clear, Bohm-Bawker's concern in The Positive Theory was to explain the inevitability and importance of a positive rate of interest in a capital-using economy. Consequently, he concentrated on questions and concepts related to the creation and...

Five different identification problems in mixture models are made explicit. Necessary and sufficient relationships among these problems of identification are analyzed using the concepts of weak and strong identification. This analysis is first particularized under a normality assumption and then...

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...

In this paper, we apply a collection of parametric (Normal, Normal GARCH, Student GARCH, RiskMetrics and high-frequency duration models) and non-parametric (empirical quantile, extreme distributions models) Value-at-Risk (VaR) techniques to intraday data for three stocks traded on the New York...

Using density forecasts, we compare the predictive performance of dur ation models that have been developed fo modelling intra-day data on stock markets. Our model portfolio encompasses the auto regressive conditional duration (ACD) model, its logarithmic version (Log-ACD), the threshold...

Dans ce papier, nous presentons un certain nombre de techniques qui peuvent etre derivees de l'algorithme de Kohonen, telles que la representation des contenus des classes, la visualisation des distances entre les classes, une rapide et robuste classification a deux niveaux emboites bases sur...

This study offers a simultaneous equations model of the birth process with seven endogenous variables: four birht inputs, and three birth outputs. Our analysis conditions on twenty-four exogenous variables. The data are taken the NLSY. Separate analyses are performed on five different groups:...