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La protection de l'emploi des travailleurs Âgés en France : une étude de la contribution Delalande

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  • Luc BEHAGHEL

Abstract

The aim of this paper is to characterize the one-dimensional stochastic differential equations, for which the eigenfunctions of the infinitesimal generator are polynomials in y. Affine transformations of the Ornstein-Uhlenbeck process, the Cox-Ingersoll-Ross process and the Jacobi process belong to the solutions of this stochastic differential equation family. Such processes exhibit specific patterns of the drift and volatility functions and can be represented by means of a basis of polynomial transforms which can be used to approximate the likelihood function. We also discuss the constraints on parameters to ensure the nonnegativity of the volatility function and the stationarity of the process. The possibility to fully characterize the dynamic properties of these processes explain why they are benchmark models for unconstrained variables such as asset returns (Ornstein-Uhlenbeck), for nonnegative variables as volatilities or interest rates (Cox, Ingersoll, Ross), or for variables which can be interpreted as probabilities (Jacobi).

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Bibliographic Info

Article provided by ENSAE in its journal Annals of Economics and Statistics.

Volume (Year): (2007)
Issue (Month): 85 ()
Pages: 41-80

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Handle: RePEc:adr:anecst:y:2007:i:85:p:02

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Cited by:
  1. Michela Bia & Pierre-Jean Messe & Roberto Leombruni, 2010. "Young-in Old-out: a new evaluation," TEPP Working Paper 2010-14, TEPP.
  2. Michella Bia & Pierre-Jean Messe & Roberto Leombruni, 2010. "Young-in Old-out: a new evaluation," Working Papers halshs-00812056, HAL.
  3. Pierre-Jean Messe, 2010. "Taxation of early retirement windows and delaying retirement: the French experience," Working Papers halshs-00809758, HAL.
  4. repec:tep:teppwp:wp1014 is not listed on IDEAS
  5. Ilmakunnas, Pekka & Ilmakunnas, Seija, 2011. "Hiring older employees: Do incentives of early retirement channels matter?," MPRA Paper 30885, University Library of Munich, Germany.
  6. repec:tep:teppwp:wp1011 is not listed on IDEAS
  7. Luc Behaghel & Bruno Crépon & Béatrice Sédillot, 2005. "The Delalande Contribution and Transitions on The Labour Market," Economie et Statistique, Institut National de la Statistique et des Etudes Economiques, vol. 372, pages 61-88, February.

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