Showing 1 - 10 of 64
This paper simultaneously investigates the effectiveness of benefit sanctions and active labour market programmes on the exit rate from unemployment using Danish data. In the data about one third of the individuals who are sanctioned also participate in some active labour market programmes...
Persistent link: https://www.econbiz.de/10008500705
While stochastic volatility models improve on the option pricing error when compared to the Black-Scholes-Merton model, mispricings remain. This paper uses mixed normal heteroskedasticity models to price options. Our model allows for significant negative skewness and time varying higher order...
Persistent link: https://www.econbiz.de/10005440079
This paper presents the Matlab package DeCo (Density Combination) which is based on the paper by Billio et al. (2013) where a constructive Bayesian approach is presented for combining predictive densities originating from different models or other sources of information. The combination weights...
Persistent link: https://www.econbiz.de/10010851235
GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC methods due to the path dependence problem. An unsolved...
Persistent link: https://www.econbiz.de/10009371456
In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes to option pricing. Specifically, we derive the risk...
Persistent link: https://www.econbiz.de/10008468123
This paper uses asymmetric heteroskedastic normal mixture models to fit return data and to price options. The models can be estimated straightforwardly by maximum likelihood, have high statistical fit when used on S&P 500 index return data, and allow for substantial negative skewness and time...
Persistent link: https://www.econbiz.de/10008462026
In this paper we analyse the movements of French young people between three states: employment, unemployment and non-participation, using data from the waves 1990-1992 of the French Labour Survey. Some of these event histories are left-censored. We therefore address the problem of initial...
Persistent link: https://www.econbiz.de/10005439933
In this paper I estimate a discrete time hazard model for the exits from the different labour market states - unemployment, employment and inactivity (or OLF) - in the Danish labour market. I find that women and individuals over fifty are more likely to experience the long-term unemployment and...
Persistent link: https://www.econbiz.de/10005439944
In this paper, we specify and estimate a structurally dependent competing risks model for the transitions out of unemployment into either new job or recall. The recall probability is allowed to affect the search intensity for new jobs.
Persistent link: https://www.econbiz.de/10005439964
This paper considers estimation of a dynamic discrete choice model with second order state dependence in the presence of strictly exogenous time-varying explanatory variables. We propose new method for estimating such models, and a small Monte Carlo study suggests that the method erforms well in...
Persistent link: https://www.econbiz.de/10005440024