Entropy Densities With an Application to Autoregressive Conditional Skewness and Kurtosis

M. ROCKINGER, E. Jondeau

Journal of Econometrics

janvier 2002, vol. 106, n°1, pp.119-142

Départements : Finance

Mots clés : Semi-nonparametric estimation, Time-varying skewness and kurtosis, GARCH

The entropy principle yields, for a given set of moments, a density that involves the smallest amount of prior information. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a potential. Next, for the case where the first four moments are given, we characterize the skewness–kurtosis domain for which densities are defined. This domain is found to be much larger than for Hermite or Edgeworth expansions. Last, we show how this technique can be used to estimate a GARCH model where skewness and kurtosis are time varying. We find that there is little predictability of skewness and kurtosis for weekly data

Equilibrium and welfare in markets with financially constrained arbitrageurs


Journal of Financial Economics

novembre-décembre 2002, vol. 66, n°2-3, pp.361-407

Départements : Finance, GREGHEC (CNRS)

Evaluation d'une politique éducative: la montée de la scolarisation en France 1982-1993

D. THESMAR, T. Magnac

Annales d'Economie et de Statistique

mars 2002, n°65, pp.1-33

Départements : Finance

Nous analysons dans cet article l'augmentation du niveau d'éducation des jeunes générations en France entre 1980 et 1993. Nous isolons trois facteurs économiques principaux qui pourraient être responsables de cette hausse: i) la hausse des rendements de l'éducation sur le marché du travail en incluant son rôle de protection contre le chômage; ii) une baisse des coûts objectifs et subjectifs d'éducation payés par les étudiants et les familles; iii) une baisse de la sélectivité du système éducatif. En utilisant les données de l'enquête FQP en 1993, les enquêtes Emploi entre 1982 et 1993 et en développant un modèle structurel de choix éducatif que nous estimons, nous montrons que c'est le troisième facteur qui porte la responsabilité principale de l'augmentation du niveau d'éducation. Nous ne savons, toutefois, pas distinguer dans l'influence de ce facteur le rôle de l'ouverture de nouvelles filières éducatives de la moindre prévalence des redoublements

Even Risk-Averters May Love Risk

M. SCARSINI, A. Müller

Theory and Decision

2002, vol. 52, n°1, pp.81-99

Départements : Economie et Sciences de la décision

A decision maker bets on the outcomes of a sequence of coin-tossings. At the beginning of the game the decision maker can choose one of two coins to play the game. This initial choice is irreversible. The coins can be biased and the player is uncertain about the nature of one (or possibly both) coin(s). If the player is an expected-utility maximizer, her choice of the coin will depend on different elements: the nature of the game (namely, whether she can observe the outcomes of the previous tosses before making her next decision), her utility function, the prior distribution on the bias of the coin. We will show that even a risk averter might optimally choose a riskier coin when learning is allowed. We will express most of our results in the language of stochastic orderings, allowing comparisons that are valid for large classes of utility functions

Evolution of Corporate Law: A Cross Country Comparison

M. West, Y. Keenan, K. Pistor, J. KLEINHEISTERKAMP

U. PA. J. INT’L ECON. L. (University of Pennsylvania Journal of International Economic Law)

2002, vol. 23, pp.791-871

Départements : Droit et fiscalité

Extension du domaine de l'expérience

C. Bénavent, Y. EVRARD

Décisions Marketing

octobre-décembre 2002, n°28, pp.7-11

Départements : Marketing

Governance, Knowledge Creation and Organizing: An Afterthought


Human Resource Planning

2002, vol. 25, n°4, pp.48-51

Départements : Management et Ressources Humaines

How and why Consumers Remember Price Information


Advances in Consumer Research

2002, vol. 29, pp.142-144

Départements : Marketing, GREGHEC (CNRS)

In 1990 Dickson and Sawyer published their now classic study on consumers' knowledge of prices for frequently purchased consumer goods. It received a lot of attention because the level of price knowledge observed was unexpectedly low in light of previous modeling work of price effects and especially compared to what reference price research (Kalyanaram and Winer 1995) had suggested (see Monroe and Lee 1999 for a comparison). In reaction, several authors raised the question of how reference price models can Asignificantly predict brand choice if actual market prices are often not noticed or remembered by consumers@ (Urbany and Dickson 1991, p. 51). The importance and relevance of Dickson and Sawyer's work motivated several replication studies that all confirmed the original results (e.g. Le Boutillier, Le Boutillier, and Neslin 1994; Wakefield and Inman 1993). Thus, the debate between reference price researchers and knowledge survey researchers remains unresolved. The first group took the glass half full perspective and focused on those consumers that do exhibit accurate performance in the in-the-aisle surveys, while the second group looked at the empty half of the glass and stressed the importance of the consumer segment that does not know prices.

How to Play with a Biased Coin

O. Gossner, N. VIEILLE

Games and Economic Behavior

novembre 2002, vol. 41, n°2, pp.206-226

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

We characterize the max min of repeated zero-sum games in which player one plays in pure strategies conditional on the private observation of a fixed sequence of random variables. Meanwhile we introduce a definition of a strategic distance between probability measures, and relate it to the standard Kullback distance.

Hundertwasser, peintre du labyrinthe et médecin de l'architecture


Revue Internationale de Psychosociologie

printemps 2002, vol. 8, n°18, pp.2-14

Départements : Management et Ressources Humaines