A general formulation of Mixed Proportional Hazard models with K random effects is provided. It enables to account for a population stratified at K different levels. We then show how to approximate the partial maximum likelihood estimator using an EM algorithm. In a Monte Carlo study, the...

The 2007 sub-prime crisis in the United States, prolonged by a severe economic recession spread over many countries around the world, has led many economic researchers to focus on the recent fluctuations in housing prices and their relationships with macroeconomics and monetary policies. The...

This paper compares the GDP forecasting performance of alternative factor models based on monthly time series for the French economy. These models are based on static and dynamic principal components. The dynamic principal components are obtained using time and frequency domain methods. The...

In the following paper the authors start with a review of theoretical elements of extreme value theory (evt). In the empirical section of this study they consider five mature markets, nine Asian, six Eastern European, and seven Latin American emerging markets. The tail-behavior of returns is...

Among several concepts encompassed by the idea of an equilibrium rate of unemployment (labour mismatch, unemployment trend, non inflationary unemployment, structural unemployment), the NAIRU appears as the most interesting one for a central bank since it focuses directly on inflation. Thus, the...

Among several concepts encompassed by the idea of an equilibrium rate of unemployment (labour mismatch, unemployment trend, non inflationary unemployment, structural unemployment), the NAIRU appears as the most intereting one for a central bank since it focuses directly on inflation. Thus, the...

In the following paper the authors start with a review of theoretical elements of extreme value theory (evt). In the empirical section of this study they consider five mature markets, nine Asian, six Eastern European, and seven Latin American emerging markets. The tail-behavior of returns is...

We use a multivariate hazard model to analyse the ratification behaviour of ILO conventions by developing countries. The model accounts for two random effects: one at the country level, the other at the convention level. After investigating identification, we use a semi-parametric Bayesian...