Showing 1 - 10 of 148
Let a process SI , ... ,ST obey the conditionally heteroskedastic equation St = Vt Et whcrc Et is a random noise and Vt is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an additional noise nt. We consider the situation which the...
Persistent link: https://www.econbiz.de/10009582392
The Normal Inverse Gaussian (NIG) distribution recently introduced by Barndorff-Nielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods. --...
Persistent link: https://www.econbiz.de/10009612011
In this paper we decompose the Serial Correlation Common Feature (SCCF) of Engle and Kozicki (1993) in the frequency domain. A collection of time series is said to share a common cycle if there exists a linear combination of the predicted series with a zero spectral density at some frequency....
Persistent link: https://www.econbiz.de/10009612024
elapsed tenure declined for men. Secondly, we find that the measure of completed job duration can efficiently be used, to … risks, we show that the decline in job stability of men can be attributed primarily to an increase in layoffs. -- labor …
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
for different groups in the labor market show that men and women are equally affected. Part-time workers, although …
Persistent link: https://www.econbiz.de/10009580458
This paper investigates the effect of displacement on reemployment wages of socially insured West German workers who … imputed using a probit estimated on the German Socioeconomic Panel (GSOEP). Average wages of those classified as displaced … recalls, and to the probit specification used, and are confirmed in the smaller GSOEP file. -- displaced workers ; wages …
Persistent link: https://www.econbiz.de/10009580479
This paper gives a comprehensive picture of job and worker flows for the entire Danish economy. We exploit a unique central administrative register encompassing all employees of all workplaces across all sectors throughout two business cycles. This enables us to broaden the focus of the previous...
Persistent link: https://www.econbiz.de/10009581098
dispersion across employers exists in the sense that different employers offer different wages to the same worker, the theory …
Persistent link: https://www.econbiz.de/10009612015
There is common consensus that managerial compensation is strongly tied to firm size and much less so to financial performance. One suspects that observed restructuring and downsizing in corporations in recent years may have an effect on these results. Based on multi-task theoretical...
Persistent link: https://www.econbiz.de/10009578030