Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects.

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literature. Although a few exact homoskedasticity tests are available, the commonly employed procedures are quite generally based on asymptotic approximations which may not provide good size control in finite samples. There has been a number of recent studies that seek to improve the reliability of common heteroskedasticity tests using Edgeworth, Bartlett, jackknife and bootstrap methods. Yet the latter remain approximate. In this paper, we describe a solution to the problem of controlling the size of homoskedasticity tests in linear regression contexts. We study procedures based on the standard test statistics [e.g., the Goldfeld-Quandt, Glejser, Bartlett, Cochran, Hartley, Breusch-Pagan-Godfrey, White and Szroeter criteria] as well as tests for autoregressive conditional heteroskedasticity (ARCH-type models). We also suggest several extensions of the existing procedures (sup-type of combined test statistics) to allow for unknown breakpoints in the error variance. We exploit the technique of Monte Carlo tests to obtain provably exact p-values, for both the standard and the new tests suggested. We show that the MC test procedure conveniently solves the intractable null distribution problem, in particular those raised by the sup-type and combined test statistics as well as (when relevant) unidentified nuisance parameter problems under the null hypothesis. The method proposed works in exactly the same way with both Gaussian and non-Gaussian disturbance distributions [such as heavy-tailed or stable distributions]. The performance of the procedures is examined by simulation. The Monte Carlo experiments conducted focus on : (1) ARCH, GARCH, and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with : (i) one exogenous variable, and (ii) the mean of the dependent variable; (3) grouped heteroskedasticity; (4) breaks in variance at unknown points. We find that the proposed tests achieve perfect size control and have good power.

Asymmetric Smiles, Leverage Effects and Structural Parameters.

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 not only the volatility risk and the interest rate risk which potentially affect option prices, but also any kind of correlation risk and jump risk. The standard financial leverage effect is produced by a cross-correlation effect between the state variables which enter into the stochastic volatility process of the stock price and the stock price process itself. However, we provide a more general framework where asymmetric implied volatility curves result from any source of instantaneous correlation between the state variables and either the return on the stock or the stochastic discount factor. In order to draw the shapes of the implied volatility curves generated by a model with latent variables, we specify an equilibrium-based stochastic discount factor with time non-separable preferences. When we calibrate this model to empirically reasonable values of the parameters, we are able to reproduce the various types of implied volatility curves inferred from option market data.

A Representation Theorem for Domains with Discrete and Continuous Variables.

This paper proves a new representation theorem for domains with both discrete and continuous variables. The result generalizes Debreu's well-known representation theorem on connected domains. A strengthening of the standard continuity axiom is used in order to guarantee the existence of a representation. A generalization of the main theorem and an application of the more general result are also presented.

A Theoretical Comparison Between Integrated and Realized Volatilies

In this paper, we provide both qualitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion the difference between the realized and the integrated volatilities for a given frequency of observations. Then, we compute the mean and variance of this noise and the correlation between the noise and the integrated volatility in the Eigenfunction Stochastic Volatility model of Meddahi (2001a). This model has, as special examples, log-normal, affine, and GARCH diffusion models. Using some previous empirical works, we show that the standard deviation of the noise is not negligible with respect to the mean and the standard deviation of the integrated volatility, even if one considers returns at five minutes. We also propose a simple approach to capture the information about the integrated volatility contained in the returns through the leverage effect.

Fair Production and Allocation of an Excludable Nonrival Good

We study fairness in economies with one private good and one partially excludable nonrival good. A social ordering function determines for each profile of preferences an ordering of all conceivable allocations. We propose the following Free Lunch Aversion condition: if the private good contributions of two agents consuming the same quantity of the nonrival good have opposite signs, reducing that gap improves social welfare. This condition, combined with the more standard requirements of Unanimous Indifference and Responsiveness, delivers a form of welfare egalitarianism in which an agent's welfare at an allocation is measured by the quantity of the nonrival good that, consumed at no cost, would leave her indifferent to the bundle she is assigned.

Habit Formation and the Persistence of Monetary Shocks

This paper studies the persistent effects of monetary shocks on output. Previous empirical literature documents this persistence, but standard general equilibrium models with sticky prices fail to generate output responses beyond the duration of nominal contracts. This paper constructs and estimates a general equilibrium model with price rigidities, habit formation, and costly capital adjustment. The model is estimated via Maximum Likelihood using US data on output, the real money stock, and the nominal interest rate. Econometric results suggest that habit formation and adjustment costs to capital play an important role in explaining the output effects of monetary policy. In particular, impulse response analysis indicates that the model generates persistent, hump-shaped output responses to monetary shocks.

Macroclosures in Open Economy Cge Models: a Numerical Reappraisal

It Has Been Argued That in the Construction and Simulation Process of Computable General Equilibrium (Cge) Models, the Choice of the Proper Macroclosure Remains a Fundamental Problem. in This Study, with a Standard Cge Model, We Simulate Disturbances Stemming From the Supply Or Demand Side of the Economy, Under Alternative Macroclosures. According to Our Results, the Choice of a Particular Closure Rule, for a Given Disturbance, May Have Different Quantitative and Qualitative Impacts. This Seems to Confirm the Imiportance of Simulating Cge Models Under Alternative Closure Rules and Eventually Choosing the Closure Which Best Applies to the Economy Under Study.

Statistical Inference for Computable General Equilibrium Models with Application to a Model of the Moroccan Economy

We study the problem of measuring the uncertainty of CGE (or RBC)-type model simulations associated with parameter uncertainty. We describe two approaches for building confidence sets on model endogenous variables. The first one uses a standard Wald-type statistic. The second approach assumes that a confidence set (sampling or Bayesian) is available for the free parameters, from which confidence sets are derived by a projection technique. The latter has two advantages: first, confidence set validity is not affected by model nonlinearities; second, we can easily build simultaneous confidence intervals for an unlimited number of variables. We study conditions under which these confidence sets take the form of intervals and show they can be implemented using standard methods for solving CGE models. We present an application to a CGE model of the Moroccan economy to study the effects of policy-induced increases of transfers from Moroccan expatriates.

Risk Aversion, Intertemporal Substitution, and Option Pricing

This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not preference-free, in other words, when preferences are not hidden in the stock and bond prices as they are in the standard Black and Scholes (BS) or Hull and White (HW) pricing formulas. The dependence of option prices on preference parameters comes from several instantaneous causality effects such as the so-called leverage effect. We also emphasize that the most standard asset pricing models (CAPM for the stock and BS or HW preference-free option pricing) are valid under the same stochastic setting (typically the absence of leverage effect), regardless of preference parameter values. Even though we propose a general non-preference-free option pricing formula, we always keep in mind that the BS formula is dominant both as a theoretical reference model and as a tool for practitioners. Another contribution of the paper is to characterize why the BS formula is such a benchmark. We show that, as soon as we are ready to accept a basic property of option prices, namely their homogeneity of degree one with respect to the pair formed by the underlying stock price and the strike price, the necessary statistical hypotheses for homogeneity provide BS-shaped option prices in equilibrium. This BS-shaped option-pricing formula allows us to derive interesting characterizations of the volatility smile, that is, the pattern of BS implicit volatilities as a function of the option moneyness. First, the asymmetry of the smile is shown to be equivalent to a particular form of asymmetry of the equivalent martingale measure. Second, this asymmetry appears precisely when there is either a premium on an instantaneous interest rate risk or on a generalized leverage effect or both, in other words, whenever the option pricing formula is not preference-free. Therefore, the main conclusion of our analysis for practitioners should be that an asymmetric smile is indicative of the relevance of preference parameters to price options.

Simulation-Based Finite-Sample Normality Tests in Linear Regressions

In the literature on tests of normality, much concern has been expressed over the problems associated with residual-based procedures. Indeed, the specialized tables of critical points which are needed to perform the tests have been derived for the location-scale model; hence reliance on available significance points in the context of regression models may cause size distortions. We propose a general solution to the problem of controlling the size normality tests for the disturbances of standard linear regression, which is based on using the technique of Monte Carlo tests.

Sampling Interval and estimated Betas : Implications for the Presence of Transitory Components in Stock Prices

We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both permanent and transitory components. The permanent component is a standard geometric Brownian motion while the transitory component is a stationary Ornstein-Uhlenbeck process. The discrete time representation of the beta depends on the sampling interval and two components labelled \"permanent and transitory betas\". We show that if no transitory component is present in stock prices, then no sampling interval effect occurs. However, the presence of a transitory component implies that the beta is an increasing (decreasing) function of the sampling interval for more (less) risky assets. In our framework, assets are labelled risky if their \"permanent beta\" is greater than their \"transitory beta\" and vice versa for less risky assets. Simulations show that our theoretical results provide good approximations for the means and standard deviations of estimated betas in small samples. Our results can be perceived as indirect evidence for the presence of a transitory component in stock prices, as proposed by Fama and French (1988) and Poterba and Summers (1988).

La teneur du standard de fiabilité des moyens électroniques de signature

Un résumé en anglais est également disponible. Le présent document a été présenté pour l'obtention du diplôme de Maîtrise en droit. Le ménoire a été accepté et classé parmi les 5% de la discipline.

The Trouble with Inversion: an Examination of Science Sexual Orientation

Although some are excited about the possibility of using current scientific research into the biological causes of sexual orientation to ground rights claims, I argue that basing rights claims on this research is unwise because this research, specifically the hormonal, genetic, and structural research, is organized around the inversion assumption, a conceptual scheme within which some aspect of the biology of gay men and lesbians is thought to be inverted along sex lines.While there are many reasons to worry about the use of the inversion assumption, I focus on problems that arise from a further set of claims that must be assumed in order to make the use of the inversion assumption coherent. This further set of assumptions includes the claims (1) that heterosexuality is the standard state and that (2) this standard state is sexually-dimorphic and (3) deterministic. I argue that this set of assumptions is problematic because it results in ideological consequences that are both sexist and heterosexist.

La désaturation cérébrale lors d’une chirurgie thoracique : son incidence et sa corrélation avec les complications post opératoires

La ventilation unipulmonaire (SLV; Single Lung Ventilation) pendant les chirurgies thoraciques entraîne des altérations cardio-pulmonaires et hémodynamiques importantes. L’objectif de ce projet de recherche consiste à étudier l’impact de la SLV sur l’oxymétrie cérébrale et sa relation avec les complications post opératoires. La première étude inclut vingt patients ayant subi une chirurgie thoracique nécessitant une SLV. L’oxymétrie a été mesurée à l’aide de l’oxymètre cérébral absolu FORESIGHTTM (CASMED, USA) afin d’étudier les changements de la saturation cérébrale absolue (SctO2) tout le long de la chirurgie. La SctO2 ainsi que les paramètres de monitorage standard (BIS, SpO2, pression sanguine, fréquence cardiaque) ont été notés à toutes les cinq minutes à partir de l’induction jusqu’au réveil. Une analyse sanguine (paO2, paCO2, Hb) a été effectuée à toutes les quinze minutes. La deuxième étude effectuée consistait d’étudier la relation entre la désaturation cérébrale en oxygène et les complications post opératoires. Pour cette fin, les scores Clavien et SOFA mesurant l’amplitude des complications, ont été établis pour chaque patient. Les données sont présentées sous forme de moyenne et de la médiane [1er quartile, 3ème quartile; min – max]. Les vingt patients de la première étude ont montré une valeur moyenne absolue de saturation cérébrale absolue (SctO2) de 80% avant l’induction. Durant la SLV, cette valeur a chuté jusqu’à 63% et est remontée à 71% directement après extubation. Tous ces patients ont subi une désaturation durant SLV de plus que 15% comparativement à la valeur de base et 70% ont eu une désaturation de plus de 20%. La désaturation n’a pas été corrélée avec aucun des paramètres de monitorage clinique standard comme la pression artérielle, les analyses des gaz artériels, la saturation périphérique ou la PaO2. La deuxième étude incluant trente autres patients aux vingt premiers, est venue confirmer les résultats de la première étude. De plus, une analyse de corrélation entre les valeurs minimales de SctO2 obtenues durant SLV et les complications post opératoires a été effectuée. Les patients avaient une SctO2 de base de 80%, qui a chuté jusqu’à 64% pendant la SLV pour récupérer à 71% avant la fin de la chirurgie. 82% des patients ont subi des désaturations de plus de 15% des valeurs initiales et 10% ont atteint des valeurs de SctO2 entre 45 et 55%. Les valeurs minimales de SctO2 observées durant la SLV corrélaient avec le score SOFA non respiratoire (R2=0,090, p=0,0287) ainsi qu’avec le score Clavien (R2=0,098, p=0,0201), mais ne corrélait avec aucun des paramètres cliniques standards (ex : SpO¬2, PaO2, PaCO2, Hb). En définissant une valeur seuil de SctO2=65%, le «Odds ratio» d’avoir une défaillance d’organe non respiratoire est de 2.37 (IC 95%=1,18 – 4,39, p=0,043) et d’avoir une complication classifiée supérieure à un score Clavien de 0 est de 3,19 (IC 95%=1,6 – 6,34, p=0,0272). Les chirurgies thoraciques avec une SLV sont associées à des chutes significatives de SctO2, et les valeurs minimales de SctO2 semblent avoir une corrélation positive avec les complications post opératoires.