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Does Competition Eliminate Discrimination? Evidence from the Commercial Sex Market in Singapore
Li, Huailu - 2015
The street sex worker market in Geylang, Singapore is highly competitive. Clients can search legally at negligible cost …
Persistent link: https://www.econbiz.de/10012457755
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Analysis of the Monetary Transmission Mechanism : Methodological Issues
McCallum, Bennett T. - 1999
This paper argues that, in studying the monetary policy transmission process, more emphasis should be given to the systematic portion of policy behavior and correspondingly less to random shocks basically because shocks account for a very small fraction of policy-instrument variability. Analysis...
Persistent link: https://www.econbiz.de/10012471390
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Monotone Instrumental Variables with an Application to the Returns to Schooling
Manski, Charles F. - 1998
Econometric analyses of treatment response commonly use instrumental variable (IV) assumptions to identify treatment effects. Yet the credibility of IV assumptions is often a matter of considerable disagreement, with much debate about whether some covariate is or is not a "valid instrument" in...
Persistent link: https://www.econbiz.de/10012472423
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Econometric Models of Limit-Order Executions
Lo, Andrew W. - 1997
This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is...
Persistent link: https://www.econbiz.de/10012472554
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Econometric Mixture Models and More General Models for Unobservables in Duration Analysis
Heckman, James J. - 1994
This paper considers models for unobservables in duration models. It demonstrates how cross-section and time-series variation in regressors facilitates identification of single-spell, competing risks and multiple spell duration models. We also demonstrate the limited value of traditional...
Persistent link: https://www.econbiz.de/10012474165
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Does Anticipated Aggregate Demand Policy Matter? Further Econometric results
Mishkin, Frederic S. - 1981
A heated debate has arisen over what Modigliani has dubbed the Macro Rational Expections (MRE) hypothesis. This hypothesis embodies two component hypotheses: 1) rational expectations and 2) short-run neutrality -- i.e., that anticipated changes in aggregate demand will have already been taken...
Persistent link: https://www.econbiz.de/10012478324
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Option Hedging Using Empirical Pricing Kernels
Rosenberg, Joshua V. - 1997
This paper develops a method for option hedging which is consistent with time-varying preferences and probabilities … the spread between implied and objective volatilities. Hedging results reveal that typical hedging techniques for out …-of-the-money S&P500 index options, such as Black-Scholes or historical minimum variance hedging, are inferior to the EPK hedging …
Persistent link: https://www.econbiz.de/10012472589
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GARCH Gamma
Engle, Robert F. - 1995
This paper addresses the issue of hedging option positions when the underlying asset exhibits stochastic volatility. By … parameterizing the volatility process as GARCH, and utilizing risk- neutral valuation, we estimate hedging parameters (delta and … gamma) using Monte-Carlo simulation. We estimate hedging parameters for options on the Standard and Poor's 500 index, a bond …
Persistent link: https://www.econbiz.de/10012473758
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …
Persistent link: https://www.econbiz.de/10012480268
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Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors
Sangvinatsos, Antonios - 2003
changes in term premia generates large hedging demands for long-term bonds …
Persistent link: https://www.econbiz.de/10012468608