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Samuele Centorrino (Toulouse School of Economics)
Toulouse: TSE, October 20, 2011, 12:45–14:00, room MF 323
This paper extends non parametric estimation to time homogeneous nonstationary diffusion processes where the drift and the diffusion coefficients are function of a multivariate exogenous time dependent variable Z. We base our estimation framework on a discrete sampling of data, following a recent...
Pierre Ribereau (Université Montpellier 2)
Toulouse: TSE, October 19, 2011, 14:00–15:30, room MF 323
In 1985 Hosking et al. estimated with the so-called Probability-Weighted Moments (PWM) method the parameters of the Generalized Extreme Value (GEV) distribution, the latter being classically fitted to maxima of sequences of independent and identically distributed random variables. Their approach is...
Kevin Sheppard (Oxford University)
Toulouse: TSE, October 18, 2011, 15:30–17:00, room MS003
This paper introduces a new class of multivariate volatility models which is easy to estimate using covariance targeting. The basic structure is to rotate the returns and then to .t them using a BEKK model of the time-varying covariance whose long-run covariance is the identity matrix. The...
Roland Bénabou (University of Princeton)
Toulouse: TSE, October 18, 2011, 11:00–12:30, room Amphi S
I model collective denial and information avoidance in groups and organizations. When wishful thinking by others is beneficial to an agent, this makes him more willing to face reality; when it is harmful this pushes him toward denial, which becomes contagious. This simple and general mechanism...
Martin Eichenbaum
October 18, 2011
Pierre Yared (Columbia Business School)
Toulouse: TSE, October 17, 2011, 17:00–18:30, room Amphi S
This paper characterizes optimal policy when a government uses indirect control to exert its authority. We develop a dynamic principal-agent model in which a principal (a government) delegates the prevention of a disturbance-such as riots, protests, terrorism, crime, or tax evasion-to an agent who...
Martin Weber (University of Mannheim)
TSE, October 17, 2011, 12:30–14:00, room MF 323
Following the classical portfolio theory all an investor has to do for an optimal investment is to determine his risk attitude. This allows him to find his point on the capital market line by combining a risk-free asset with the market portfolio. We investigate the following research questions in...
Vic Adamowicz (University of Alberta)
Toulouse: TSE, October 17, 2011, 11:00–12:30, room Amphi S
Chronic wasting disease (CWD) is a prion disease that affects deer, elk and other cervid wildlife species. CWD is essentially the cervid form of “mad cow disease” or Bovine Spongiform Encephalopathy (BSE). However, unlike BSE there is no known link between the consumption of CWD affected meat and...
Stefano Della Vigna (University of California, Berkeley)
Toulouse: TSE, October 14, 2011, 15:30–17:00, room MS003
Xavier Venel (Toulouse School of Economics - GREMAQ)
Toulouse: TSE, October 14, 2011, 13:45–15:00, room MS 003
We consider some example of two-player zero-sum stochastic games with signals. First we are interested in stochastic games where both players monitor past actions but have no information on the state. Under a commutation assumption on the transition, we prove that the uniform value exists. The...
