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Spot Variance Path Estimation and its Application to High Frequency Jump Testing
Bos, Charles S.; Janus, Pawel; Koopman, Siem Jan - Tinbergen Instituut - 2009
This discussion paper resulted in an article in the <I>Journal of Financial Econometrics</I> (2012). Vol. 10, pages 354-389.<p> This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and...</p></i>
Persistent link: https://www.econbiz.de/10011255584
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Evaluation Problem versus Selection Problem in Organizational Structures
Ficco, Stefano; Karamychev, Vladimir - Tinbergen Instituut - 2005
We consider a hierarchical organization with two fully rational agents. The goal of the organization is that of selecting the best alternative out of several available, and agents are heterogenous in the accuracy with which they screen the alternatives. We show that, if internal communications...
Persistent link: https://www.econbiz.de/10011255755
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On the Merits of Meritocracy
Morgan, John; Sisak, Dana; Vardy, Felix - Tinbergen Instituut - 2012
We study career choice when competition for promotion is a contest. A more meritocratic profession always succeeds in attracting the highest ability types, whereas a profession with superior promotion benefits attracts high types only if the hazard rate of the noise in performance evaluation is...
Persistent link: https://www.econbiz.de/10011255815
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Better Safe than Sorry? Ex Ante and Ex Post Moral Hazard in Dynamic Insurance Data
Abbring, Jaap; Chiappori, Pierre-André; Zavadil, Tibor - Tinbergen Instituut - 2008
This paper empirically analyzes moral hazard in car insurance using a dynamic theory of an insuree's dynamic risk (ex ante moral hazard) and claim (ex post moral hazard) choices and Dutch longitudinal micro data. We use the theory to characterize the heterogeneous dynamic changes in incentives...
Persistent link: https://www.econbiz.de/10011255913
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Quantifying Productivity Gains from Foreign Investment
Fons-Rosen, Christian; Kalemli-Ozcan, Sebnem; Sorensen, … - Tinbergen Instituut - 2013
We quantify the causal effect of foreign investment on total factor productivity (TFP) using a new global firm-level database. Our identification strategy relies on exploiting the difference in the amount of foreign investment by financial and industrial investors and simultaneously controlling...
Persistent link: https://www.econbiz.de/10011256053
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Disciplining and Screening Top Executives
Martinez, Silvia Dominguez; Swank, Otto H.; Visser, Bauke - Tinbergen Instituut - 2006
Boards of directors face the twin task of disciplining and screening executives. To perform these tasks directors do not have detailed information about executives' behaviour, and only infrequently have information about the success or failure of initiated strategies, reorganizations, mergers...
Persistent link: https://www.econbiz.de/10011256153
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Social Experiments and Instrumental Variables with Duration Outcomes
Abbring, Jaap H.; Berg, Gerard J. van den - Tinbergen Instituut - 2005
This paper examines the empirical analysis of treatment effects on duration outcomes from data that contain instrumental variation. We focus on social experiments in which an intention to treat is randomized and compliance may be imperfect. We distinguish between cases where the treatment starts...
Persistent link: https://www.econbiz.de/10011256180
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An Experimental Study of Credible Deviations and ACDC
Ruiz, Adrian de Groot; Offerman, Theo; Onderstal, Sander - Tinbergen Instituut - 2011
We test the Average Credible Deviation Criterion (ACDC), a stability measure and refinement for cheap talk equilibria introduced in De Groot Ruiz, Offerman & Onderstal (2011b). ACDC has been shown to be predictive under general conditions and to organize data well in previous experiments meant...
Persistent link: https://www.econbiz.de/10011256353
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Self-employment and Health: Barriers or Benefits?
Rietveld, Cornelius A.; Kippersluis, Hans van; Thurik, … - Tinbergen Instituut - 2013
-employment on health (benefit effect), or a health-related selection of individuals into self-employment (barrier effect). Our main … finding is that the selection of comparatively healthier individuals into self-employment accounts for the positive cross …
Persistent link: https://www.econbiz.de/10011257487
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Decomposing the Gender Wage Gap in the Netherlands with Sample Selection Adjustments
Albrecht, James; Vuuren, Aico van; Vroman, Susan - Tinbergen Instituut - 2004
selection is a serious issue. In addition to shedding light onthe sources of the gender gap in the Netherlands, we make two … simulate. Second, we show how the technique can be extended toaccount for selection.We find that there is a positive selection … time. We find that about two-thirds of this selection isdue to observables such as education and experience with the …
Persistent link: https://www.econbiz.de/10011257638