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It is common practice to identify the number and sources of shocks that move implied volatilities across space and time by applying Principal Components Analysis (PCA) to pooled covariance matrices of changes in implied volatilities. This approach, however, is likely to result in a loss of...
Persistent link: https://www.econbiz.de/10009613597
The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...
Persistent link: https://www.econbiz.de/10009613611
paper, we estimate random effects models to analyze relative wage growth using data from the German Socio-Economic Panel. We …
Persistent link: https://www.econbiz.de/10009616783
-Economic Panel 1984-1997, we look at two measures for job stability. Based on repeated cross sectional data we first show that medium …
Persistent link: https://www.econbiz.de/10009618363
The impact of general and specific training on income and mobility is an important issue for the discussion around human capital as well as the design of educational systems. Using data from two retrospective life-history surveys this paper examines the impact of more general school-based...
Persistent link: https://www.econbiz.de/10009621425
Socioeconomic Panel. Fitting a parametric Generalized Linear Model (GLM) yields nonlinear residual behavior. This finding is not …
Persistent link: https://www.econbiz.de/10009574896
For over a decade, nonparametric modelling has been successfully applied to study nonlinear structures in financial time series. It is well known that the usual nonparametric models often have less than satisfactory performance when dealing with more than one lag. When the mean has an additive...
Persistent link: https://www.econbiz.de/10009578559
to evidence for the US and the UK. Cross sectional data and calendar information from the German Socioeconomic Panel 1984 …
Persistent link: https://www.econbiz.de/10009580458
imputed using a probit estimated on the German Socioeconomic Panel (GSOEP). Average wages of those classified as displaced …
Persistent link: https://www.econbiz.de/10009580479
A major application of rescaled adjusted range analysis (RS analysis) is the study of price fluctuations in financial markets. There, the value of the Hurst constant, H, in a time series may be interpreted as an indicator of the irregularity of the price of a commodity, currency or similar...
Persistent link: https://www.econbiz.de/10009581110