2 papers
econ.GN2020
Can one hear the shape of a target zone?
Jean-Louis Arcand, Max-Olivier Hongler, Shekhar Hari Kumar +1
We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which ge…
math.PR2014
Increasing Risk: Dynamic Mean-Preserving Spreads
Jean-Louis Arcand, Max-Olivier Hongler, Daniele Rinaldo
We extend the celebrated Rothschild and Stiglitz (1970) definition of Mean-Preserving Spreads to a dynamic framework. We adapt the original integral conditions to transition probab…