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Harry J. Paarsch (University of Melbourne)
Toulouse : TSE, 7 décembre 2010, 15h30–17h00, salle MH 203
Previous researchers have modelled the decision to accept a donor organ for transplantation as a Markov decision problem, the solution to which is often a control-limit optimal policy: accept any organ whose match quality exceedssome health-dependent threshold; otherwise, wait for another....
Karel Hron (Palacky University)
Toulouse : TSE, 7 décembre 2010, 14h00–15h30, salle MH 203
Many practical data sets in official statistics, environmental science and various other disciplines including economical applications are in fact compositional data because only the ratios between the variables are informative, e.g., household expenditures on various costs from the monthly budget...
Guillaume Plantin (TSE-CRM)
Toulouse : TSE, 7 décembre 2010, 11h00–12h30, salle MF 323
This paper develops a model of active portfolio management in which fund managers may secretly gamble in order to manipulate their reputation and attract more funds. We show that such trading strategies may expose investors to severe losses and are more likely to occur when fund managers are...
Mark Machina (University of California -San Diego)
Toulouse : TSE, 7 décembre 2010, 11h00–12h30, salle MH 203
Aleh Tsyvinski (Yale Department of Economics)
Toulouse : TSE, 6 décembre 2010, 17h00–18h30, salle MF 323
Augustin Landier (TSE)
Toulouse : TSE, 6 décembre 2010, 12h30–14h00, salle MF 323
Using loan level data, we investigate the lending behavior of a large subprime mortgage originator, New Century, prior to its bankruptcy in the beginning of 2007. We provide evidence of sudden risk-shifting in New Century’s lending behavior in 2004. This change follows the sharp monetary policy...
Carmen Marchiori (LSE Londres)
Toulouse : TSE, 6 décembre 2010, 11h00–12h30, salle MF 323
Toulouse, 3 décembre 2010, 08h30–18h00, salle MF 323
George Tauchen (University of Duke)
Toulouse : TSE, 2 décembre 2010, 15h30–17h00, salle MF 323
We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is robust to price-level jumps and generally has good finite sample properties. The method entails first integrating intra-day data into the Realized Laplace Transform of volatility,...
Ludovic Renou (University of Leicester)
Toulouse : TSE, 2 décembre 2010, 12h30–14h00, salle MB 405
This paper introduces the concept of ordient for binary relations (preferences), a relative of the concept of gradient for functions (utilities). The main motivation for this study is to replace the binary relation at the center stage of economic analysis, rather than its representation (whenever...
