La protection de l'emploi des travailleurs Âgés en France : une étude de la contribution Delalande
AbstractThe 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 InfoArticle provided by ENSAE in its journal Annals of Economics and Statistics.
Volume (Year): (2007)
Issue (Month): 85 ()
Other versions of this item:
- Luc Behahel, 2006. "La protection de l'emploi des travailleurs âgés en France : une étude de la contribution Delalande," Research Unit Working Papers 0603, Laboratoire d'Economie Appliquee, INRA.
- J23 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Labor Demand
- J63 - Labor and Demographic Economics - - Mobility, Unemployment, and Vacancies - - - Turnover; Vacancies; Layoffs
- J65 - Labor and Demographic Economics - - Mobility, Unemployment, and Vacancies - - - Unemployment Insurance; Severance Pay; Plant Closings
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- Ilmakunnas, Pekka & Ilmakunnas, Seija, 2011. "Hiring older employees: Do incentives of early retirement channels matter?," MPRA Paper 30885, University Library of Munich, Germany.
- Messe, P.J., 2011.
"Taxation of early retirement windows and delaying retirement: The French experience,"
Elsevier, vol. 28(5), pages 2319-2341, September.
- Pierre-Jean Messe, 2010. "Taxation of early retirement windows and delaying retirement: the French experience," Papers 2010-11, TEPP Working Papers.
- Pierre-Jean Messe, 2010. "Taxation of early retirement windows and delaying retirement: the French experience," Working Papers halshs-00809758, HAL.
- Michela Bia & Pierre-Jean Messe & Roberto Leombruni, 2010.
"Young-in Old-out: a new evaluation,"
2010-14, TEPP Working Papers.
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