The focus of this article is using dynamic correlation models for the calculation of minimum variance hedge ratios between pairs of assets. Finding an optimal hedge requires not only knowledge of the variability of both assets, but also of the co-movement between the two assets. For this...

A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...

We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...

We assess the stability of the unemployment gap parameter using linear dynamic Phillips curve models for the United States. In this study, we allow the unemployment gap parameter to be time-varying such that we can monitor the importance of the Phillips curve over time. We consider different...

Multilevel models are widely used in education and social science research. However, the effects of omitting levels of the hierarchy on the variance decomposition and the clustering effects have not been well documented. This paper discusses how omitting one level in three-level models affects...

The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Existing tests assume, however, that draws are independent, and there are no tests that account for serial dependencies -- a problem that is particularly important in economics and...

We suggest the first large-scale international comparison of labor supply elasticities for 17 European countries and the US, separately by gender and marital status. Measurement differences are netted out by using a harmonized empirical approach and comparable data sources. We find that own-wage...