return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …

conditional volatility across investment horizons. The results reveal the same kind of horizon effect as the one found in recent …

This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …

estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …This paper considers forecast averaging when the same model is used but estimation is carried out over different … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

offshoring plays for domestic volatility of employment. Offshoring is modeled as in Antràs & Helpman (2004), but we assume … has a pro-offshoring effect. And 2), under this same condition, offshoring increases volatility in domestic employment of … offshoring firms and the volatility of offshore employment of these same firms is larger than volatility of domestic employment …

for the years 1970-2004, we document how the volatility of hours worked and of wages of workers at different skill levels … volatility of employment, and this effect is strongest for low-skilled workers. A higher share of low-skilled employment has a …