The risky steady-state, with Helene Rey and Nicolas Coeurdacier, American Economic Review, Papers and Proceedings, 2011
We propose a simple quantitative method to linearize around the risky steady state of a small open economy. Unlike when the deterministic steady state is used, the net foreign asset position is well defined. We allow for both stochastic income and stochastic interest rate.
A LARCH(∞) Vector Valued Process, with Paul Doukhan and Gilles Teyssière, Lecture Notes in Statistics, 187, Springer, New York, 2006.
We introduce a vector version of the ARCH(∞) equation yielding a simple approach to various models like bilinear or GARCH models. To this aim wei provide an explicit chaotic expansion of a solution for this ARCH(∞) equation, and show the uniqueness of this solution under reasonable conditions. Independent or N-Markov approximations of this process allow to simulate a trajectory or to derivei bounds for their weak dependence coefficients as defined by Doukhan and Louhichi (1999). We finally consider a long range dependent version of this model; in this case we provide an existence and uniqueness result