For financial assets whose best quotes almost always change by jumping by the market`s price tick size (one cent, five cents, etc.), this paper proposes an estimator of Quadratic Variation which controls for microstructure effects. It measures the prevalence of alternations, where quotes jump...

Financial assets` quoted prices normally change through frequent revisions, or jumps. For markets where quotes are almost always revised by the minimum price tick, this paper proposes a new estimator of Quadratic Variation which is robust to microstructure effects. It compares the number of...

This paper is empirical study, using new experimental data, of repeated game strategies in trust games; its goal is to identify strategies that people use in repeated games. We develop a strategy inference method that maps observed actions to a set of best fitting unobserved repeated game...

Measures of central banks` independence and central banks` accountability which are based on an interpretation of their statutes provide, in themselves, no guidance for the assessment of legislative proposals. In the effectiveness of monetary policy, the crucial considerations relate to how...

Measures of central banks' independence and central banks' accountability which are based on an interpretation of their statutes provide, in themselves, no guidance for the assessment of legislative proposals. In the effectiveness of monetary policy, the crucial considerations relate to how...

Around 40% of the male workforce regularly works 8 to 9 hours a week of paid overtime. This paper investigates the determinants of overtime hours in Britain over the period 1975-1999. For this purpose a panel data Tobit model is estimated using the very large panel of employees from the National...

The empirical results show that changes in the job-mix across the economy, from high to low overtime jobs rather than within-job changes in the use of overtime, account for most of the apparent decline in the extent of overtime working over the 1990s. Within jobs, the GDP cycle has a significant...

We investigate what it means for one act to be more ambiguous than another. The question is evidently analogous to asking what makes one prospect riskier than another, but beliefs are neither objective nor representable by a unique probability. Our starting point is an abstract class of...

This paper discusses and documents the algorithms of SsfPack 2.2. SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form. The emphasis is on documenting the link we have made to the Ox computing...

This paper studies the stability of nonlinear autoregressive models with conditionality heteroskedastic errors. We consider a nonlinear autoregression of order p (AR(p)) with the conditional variance specified as a nonlinear first order generalized autoregressive conditional heteroskedasticity...