Two distinct issues are addressed. First, we explore earnings and employment outcome differences across categories of the immigrant selection system and directly link the points system to these outcomes, which is relatively rare in Canadian research. Second, the appropriateness of alternative...

We examine the ability of male immigrants to transfer their occupational human capital using information from the O*NET and a unique dataset that includes both the last source country occupation and the first four years of occupations in Canada. We first augment a model of occupational choice...

We analyze the process of immigrant selection and occupational outcomes of International Medical Graduates (IMGs) in the US and Canada. We extend the IMG relicensing model of Kugler and Sauer (2005) to incorporate two different approaches to immigrant selection: employer nomination systems and...

The implications of human capital portability -- including interactions between education, language skills and pre- and post-immigration occupational matching -- for earnings are explored for new immigrants to Canada. Given the importance of occupation-specific skills, as a precursor we also...

Seemingly absent from the arsenal of currently available "nearly efficient" testing procedures for the unit root hypothesis, i.e. tests whose asymptotic local power functions are virtually indistinguishable from the Gaussian power envelope, is a test admitting a (quasi-)likelihood ratio...

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid that the long memory property of volatility carries over to...

We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables in the information set, including implied volatility backed out from option prices. Realized volatility is separated into its continuous and jump components, and the...

In this paper we analyze the influence of observed and unobserved initial values on the bias of the conditional maximum likelihood or conditional sum-of-squares (CSS, or least squares) estimator of the fractional parameter, d, in a nonstationary fractional time series model. The CSS estimator is...

We provide a fast algorithm for calculating the fractional difference of a time series. In standard implementations, the calculation speed (number of arithmetic operations) is of order T^2, where T is the length of the time series. Our algorithm allows calculation speed of order T log(T). For...

We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk-return tradeoff and the leverage effect. We apply the fractionally integrated exponential GARCH-in-mean (FIEGARCH-M) model for daily stock return data, which includes both features and...