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Carlos Canon (Toulouse School of Economics)
Toulouse : TSE, 3 novembre 2011, 12h45–14h00, salle MF 323
This paper studies a “market creating” firm (platform) that offers a matching environment by charging an access fee to a population of high and low type users who wish to form a match. We focus on an environment where users only observe a signal of their randomly assigned partner’s type and where...
Francesca Molinari (Cornell University)
Toulouse : TSE, 25 octobre 2011, 15h30–17h00, salle Amphi S
This paper provides inference methods for best linear approximations to functions which are known to lie within a band. It extends the partial identification literature by allowing the upper and lower functions defining the band to be any functions, including ones carrying an index, which can be...
Peter Tankov (Université Paris-Diderot)
Toulouse : TSE, 21 octobre 2011, 13h45–15h00, salle MS003
We shall present some recent results concerning Lévy processes whose Lévy measure has regular variation at zero. Regular variation is a natural condition allowing to obtain a convergence rate in different asymptotic contexts. Two applications shall be presented: high order discretization schemes...
Beatriz Armendariz (Harvard University)
Toulouse : TSE, 21 octobre 2011, 11h00–12h30, salle MF 323
Street children are common in developing countries, notably in sub-Saharan Africa and Latin America. However, their mobility and mistrust has made them a difficult population to study. We are working with a unique dataset that tracks the interaction between 3859 street children and an NGO on the...
Samuele Centorrino (Toulouse School of Economics)
Toulouse : TSE, 20 octobre 2011, 12h45–14h00, salle 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, 19 octobre 2011, 14h00–15h30, salle 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, 18 octobre 2011, 15h30–17h00, salle 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, 18 octobre 2011, 11h00–12h30, salle 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...
Pierre Yared (Columbia Business School)
Toulouse : TSE, 17 octobre 2011, 17h00–18h30, salle 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 Manheim)
TSE, 17 octobre 2011, 12h30–14h00, salle 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...
