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Clark, Hunter - 2017

Concerns about the quality of China's official GDP statistics have been a perennial question in understanding its economic dynamics. We use data on satellite-recorded nighttime lights as an independent benchmark for comparing various published indicators of the state of the Chinese economy....

Persistent link: https://www.econbiz.de/10012455358

Newer Need Not be Better : Evaluating the Penn World Tables and the World Development Indicators Using Nighttime Lights

Pinkovskiy, Maxim - 2016

Nighttime lights data are a measure of economic activity whose error is plausibly independent of the measurement errors of most conventional indicators. Therefore, we can use nighttime lights as an independent benchmark to assess existing measures of economic activity (Pinkovskiy and...

Persistent link: https://www.econbiz.de/10012456459

Transportation and Health in the Antebellum United States 1820-1847

Zimran, Ariell - 2018

I study the impact of transportation on health in the rural US, 1820-1847. Measuring health by average stature, I find that greater transportation linkage, as measured by market access, in a cohort's county-year of birth had an adverse impact on its health. A one-standard deviation increase in...

Persistent link: https://www.econbiz.de/10012480597

The Reconstruction of the American Urban Landscape in the Twentieth Century

Kim, Sukkoo - 2002

One of the most important representations of an urban spatial structure is its density. Indeed, an urban area is defined as a densely populated place with a sizeable number of inhabitants. Yet, despite the fact that the defining element of an urban area is its density, few scholars have...

Persistent link: https://www.econbiz.de/10012469858

The Economics of Urban Density

Duranton, Gilles - 2020

Urban density boosts productivity and innovation, improves access to goods and services, reduces typical travel distances, encourages energy-efficient construction and transport, and facilitates sharing scarce amenities. However, density is also synonymous with crowding, makes living and moving...

Persistent link: https://www.econbiz.de/10012481798

International Asset Allocation with Time-Varying Correlations

Ang, Andrew - 1999

It is widely believed that correlations between international equity markets tend to increase in highly volatile bear markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a...

Persistent link: https://www.econbiz.de/10012471745

On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model

Chan, Louis K.C. - 1999

We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...

Persistent link: https://www.econbiz.de/10012471761

The Forecasting Ability of Correlations Implied in Foreign Exchange Options

Campa, Jose M. - 1997

This paper evaluates the forecasting accuracy of correlation derived from implied volatilities in dollar-mark, dollar …-yen, and mark-yen options from January 1989 to May 1995. As a forecast of realized correlation between the dollar-mark and … dollar-yen, implied correlation is compared against three alternative forecasts based on time series data: historical …

Persistent link: https://www.econbiz.de/10012472847

The Covariation of Risk Premiums and Expected Future Spot Exchange Rates

Hodrick, Robert J. - 1985

Fama(1984) analyzed the variability and the covariation of risk premiums and expected rates of depreciation. We employ three statistical techniques that do not suffer from a potential bias in Fama's analysis, but we nevertheless confirm his findings. In contrast to his interpretation the results...

Persistent link: https://www.econbiz.de/10012477330

Characteristics Are Covariances : A Unified Model of Risk and Return

Kelly, Bryan - 2018

We propose a new modeling approach for the cross section of returns. Our method, Instrumented Principal Components Analysis (IPCA), allows for latent factors and time-varying loadings by introducing observable characteristics that instrument for the unobservable dynamic loadings. If the...

Persistent link: https://www.econbiz.de/10012453176

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