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. These latent variables can capture...

This paper derives the ARMA representation of integrated and realized variances when the spot variance depends linearly on two autoregressive factors, i.e., SR SARV(2) models. This class of processes includes affine, GARCH diffusion, CEV models, as well as the eigenfunction stochastic volatility...

Les Variations de Salaires Reels Agissent Sur L'emploi Tant Par Leurs Effets de Substitution de Capital/Travail Que Par les Variations de la Demande Effective Qu'elles Engendrent. Malinvaud a Developpe une Approche Theorique Pour Analyser L'importance Relative de Ces Deux Effets. Dans Cette...