This paper introduces a notion on nonlinear innovation for the ananlysis of nonlinear dynamics. We show that nonlinear processes can be represented as functions of current and lagged values of nonlinear innovations.

The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expresssions for the first and second derivatives of the Value at Risk, and explain how they can be used to simplify statistical inference and to perform a loval...

In complete markets no arbitrage opportunity implies deterministic relationships between the prices of derivative assets. These actuarial relations are incompatible with the available data and with statistical inference. The aim of this paper is to reconcile risk neutral valuation and...

In this paper, we propose an empirical analysis of the presence of adverse selection in an insurance market. We first present a theoratical model of a market with adverse selection and we introduce different issues related to transaction costs, accident costs, risk aversion and moral hazard. We...

We discuss how to detect the informational content of household decisions among the explanatory variables of econometric models. Two applications to the choice of automobile insurance contracts and the demand for life insurance are provided. We show that the information provided by additional...

In this paper, we propose an empirical analysis of the presence of adverse selection in an insurance market. We first present a theroetical model of a market with adverse selection and we introduce different issues related to transaction costs, accident costs, risk aversion and moral hazard. We...

An efficient portfolio maximizes the expected utility of future wealth. This paper presents an analysis of the efficiency frontier, formed by a set of efficient portfolios corresponding to a parameterized class of utility functions. First we discuss the estimation of Tan efficient portfolio and...

In this paper, we propose an empirical analysis of the presence of adverse selection in an insurance market. We first present a theoretical model of a market with adverse selection and we introduce different issues related to transaction costs, accident costs, risk aversion and moral hazard. We...

This paper studies the implications of absence of arbitrage in economies where: (i) trade takes place in transaction time, (ii) there is a single state variable whose transaction-time price path is binomial, (iii) there are riskfree bonds with calendar-time maturities, and (iv) the relation...

The paper investigates the pricing of derivative securities with calendar-time maturities.