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Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles

Acciaio, Beatrice; Föllmer, Hans; Penner, Irina - London School of Economics (LSE) - 2012

We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito et al. (Electron. J. Probab. 11(3):57–106, 2006). These risk measures take into account not only the amounts but also the timing of a cash flow. We discuss...

Persistent link: https://www.econbiz.de/10011071088

Factor residuals in SUR regressions: estimating panels allowing for cross sectional correlation

Robertson, Donald; Symons, James - London School of Economics (LSE) - 2000

This paper describes a method for estimating panels by imposing a factor structure on the residuals. The method allows SUR estimation of panel models by providing a full-rank estimator of the system covariance matrix when the usual estimate is rank-deficient. We charactersie completely the...

Persistent link: https://www.econbiz.de/10010745285

Sources of systematic risk

Makarov, Igor; Papanikolaou, D. - London School of Economics (LSE) - 2008

Using the restrictions implied by the heteroskedasticity of stock returns, we identify four factors in the U.S. industry returns. The first correlates highly with the market portfolio; the second is a portfolio of stocks that produce investment goods minus stocks that produce consumption goods;...

Persistent link: https://www.econbiz.de/10010745356

Prediction and sufficiency in the model factor analysis

Abul Naga, Ramses H. - London School of Economics (LSE) - 1997

We contrast two approaches to the prediction of latent variables in the model of factor analysis. The likelihood statistic is a sufficient statistic for the unobservables when sampling arises from the exponential family of distributions. Linear predictors, on the other hand, can be obtained as...

Persistent link: https://www.econbiz.de/10010745989

Minimum wages and employment

Keil, Manfred; Robertson, Donald; Symons, James - London School of Economics (LSE) - 2001

This paper investigates the effect of minimum wages on employment using a panel of US state-based data. We estimate a minimalist dynamic version of the specification implied by neo-classical theory. We find statistically and economically significant effects of minimum wages on youth employment....

Persistent link: https://www.econbiz.de/10010746492

Pairwise likelihood estimation for factor analysis models with ordinal data

Katsikatsou, Myrsini; Moustaki, Irini; Yang-Wallentin, Fan - London School of Economics (LSE) - 2012

Pairwise maximum likelihood (PML) estimation method is developed for factor analysis models with ordinal data and fitted both in an exploratory and confirmatory set-up. The performance of the method is studied via simulations and comparisons with full information maximum likelihood (FIML) and...

Persistent link: https://www.econbiz.de/10011071409

The weightless economy in economic development

Quah, Danny - London School of Economics (LSE) - 1999

, education, and skills for consumption (rather than production) - can importantly affect patterns of economic growth and …

Persistent link: https://www.econbiz.de/10010884693

Spatial agglomeration dynamics

Quah, Danny - London School of Economics (LSE) - 2002

This paper develops a model of economic growth and activity locating endogenously on a 3- dimensional featureless … global geography. The same economic forces influence simultaneously growth, convergence, and spatial agglomeration and … converges towards egalitarian growth. Equality is stable but spatial inequality is needed to attain it. …

Persistent link: https://www.econbiz.de/10010884745

Growth and inequality: a demographic explanation

Miyazawa, Kazutoshi - London School of Economics (LSE) - 2005

This paper investigates the relationship between growth and inequality from a demographic point of view. In an extended … rate on the equilibrium growth rate as well as on the income distribution. We show that the relationship between growth and …

Persistent link: https://www.econbiz.de/10010928630

The role of freedom, growth and religion in the taste for revolution

MacCulloch, Robert; Pezzini, Silvia - London School of Economics (LSE) - 2002

personal characteristics, country and year fixed effects, more freedom and economic growth both reduce revolutionary support …. To reduce support by the same amount requires adding 14 percentage points on to the GDP growth rate. Being Muslim in a …

Persistent link: https://www.econbiz.de/10010928706