CIRANOLe CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Le

Dependence among large observations in equity markets is usually examined using secondmoment models such as those from the GARCH or SV classes. Such models treat the entire set of returns, and tend to produce very similar estimates on the major equity markets, with a sum of estimated GARCH parameters, for example, slightly below one. Using dependence measures from extreme value theory, however, it is possible to characterize dependence among only the largest (or largest negative) financial returns; these alternative characterizations of clustering have important applications in risk management. In this paper we compare the NASDAQ and S&P in this way, and implement tests which can be used for the null hypothesis of the same degree of extreme dependence. Although GARCH-type characterizations of second-moment dependence in the two markets produce similar results, the same is not true in the extremes: we find significantly more extreme dependence in the NASDAQ returns. More generally, the study of extreme dependence may reveal contrasts which are obscured when examining the conditional second moment.

a b s t r a c tMany processes can be represented in a simple form as infinite-order linear series. In such cases, an approximate model is often derived as a truncation of the infinite-order process, for estimation on the finite sample. The literature contains a number of asymptotic distributional results for least squares estimation of such finite truncations, but for quantile estimation, results are not available at a level of generality that accommodates time series models used as finite approximations to processes of potentially unbounded order. Here we establish consistency and asymptotic normality for conditional quantile estimation of truncations of such infinite-order linear models, with the truncation order increasing in sample size. We focus on estimation of the model at a given quantile. The proofs use the generalized functions approach and allow for a wide range of time series models as well as other forms of regression model. The results are illustrated with both analytical and simulation examples.

Cet article étudie le choix des paramètres dans la conception du régime de retraite et dans les stratégies de placement en tenant compte de la règlementation et de l’organisation institutionnelle. Notre objectif est de déterminer si ces choix sont motivés par les préférences des participant·es au régime de retraite ou par la possibilité d’un transfert de risques injuste favorisé par une règlementation incitative aux effets pervers. Les résultats empiriques indiquent que les taux d’actualisation choisis par les régimes de retraite canadiens tant publics que privés reflètent les préférences en matière de risque plutôt que le cadre règlementaire ou les politiques incitatives