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Semiparametric analysis of German East-West migration intentions : facts and theory

Burda, Michael C.; Härdle, Wolfgang; Müller, Marlene; … - 1997

East-West migration in Germany peaked at the beginning of the 90s although the average wage gap between Eastern and Western Germany continues to average about 25%. We analyze the propensity to migrate using microdata from the German Socioeconomic Panel. Fitting a parametric Generalized Linear...

Persistent link: https://www.econbiz.de/10009574896

Estimating state-price densities with nonparametric regression

Huynh, Kim; Kervella, Pierre; Zheng, Jun - 2002

Persistent link: https://www.econbiz.de/10009624851

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(l) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under...

Persistent link: https://www.econbiz.de/10009580460

Common factors governing VDAX movements and the maximum loss

Härdle, Wolfgang; Schmidt, Peter - 2000

Based on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on the German stock index DAX. Using Principal Components Analysis over the sample period from 1996 to 1997, we derive common factors representing "shift" and "curvature" of the...

Persistent link: https://www.econbiz.de/10009612026

Confidence intervals for state price densities

Hlávka, Zdeněk (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916784

Fitting the smile revisited : a least squares kernel estimator for the implied volatility surface

Fengler, Matthias R. (contributor); Wang, Qihua (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919426

Job Reallocation and Productivity Growth under Alternative Economic Systems and Policies: Evidence from the Soviet Transition

Brown, J. David; Earle, John S. - William Davidson Institute, University of Michigan - 2002

Soviet Republics of Russia and Ukraine. Exploiting annual manufacturing census data from 1985 to 2000, we find that Soviet … Russia displayed job flow behavior quite different from market economies, with very low rates of job reallocation that bore … reforming Russia than in “gradualist” Ukraine, as did the estimated effects of privatization and competitive pressures from …

Persistent link: https://www.econbiz.de/10005207903

BANKING REFORM IN RUSSIA: A WINDOW OF OPPORTUNITY?

Chowdhury, Abdur - William Davidson Institute, University of Michigan - 2003

Only a successful implementation of an overall reform program will enable Russian banks to provide financial intermediation and assist in the country's development from a nascent market economy to a mature financial system. The chances for reform are better now than at any time during the last...

Persistent link: https://www.econbiz.de/10005207904

The Effect of Privatization on the Wealth Distribution in Russia

Alexeev, Michael - William Davidson Institute, University of Michigan - 1997

implications constitutes the main contribution of the paper. The effect of wealth redistribution on economic growth in Russia is …

Persistent link: https://www.econbiz.de/10005677391

Russian Roulette- Expenditure Inequality and Instability in Russia, 1994-1998

Jovanovic, Brando - William Davidson Institute, University of Michigan - 2000

expenditure inequality and instability in Russia between the autumn of 1994 and the autumn of 1998. The expenditure distribution … is stable in spite of the economic and political turmoil Russia is going through. However, that does not imply much …

Persistent link: https://www.econbiz.de/10005677424