This paper develops a high-frequency risk measure, the Liquidity-adjusted Intraday Value at Risk (LIVaR). Our objective is to explicitly consider the endogenous liquidity dimension associated with order size. Taking liquidity into consideration when using intraday data is important because...

In this paper, we address the dynamics associated with living-arrangement decisions of sick, elderly individuals. Using data from the Panel Study of Income Dynamics and its Parental Health Supplement, we construct the complete living-arrangement histories of elderly individuals in need of care....

In Canada, a policy aiming at helping single parents on social assistance become self-reliant was implemented on an experimental basis. The Self-Sufficiency Entry Effects Demonstration randomly selected a sample of 4,134 single parents who had applied for welfare between January 1994 and March...

The objective of this paper is to investigate the use of tick-by-tick data for market risk measurement. We propose an Intraday Value at Risk (IVaR) at different horizons based on irregularly time-spaced high-frequency data by using an intraday Monte Carlo simulation. An UHF-GARCH model extending...

In this paper we analyze the impact of benefits on the length of welfare spells. It introduces a ``natural experiment'' approach of comparing the length of welfare spells before and after a major reform of the welfare program that took place in the Province of Québec in August 1989. An...

We provide an analysis of the effect of physician payment methods on their hospital patients’ length of stay and risk of readmission. To do so, we exploit a major reform implemented in Quebec (Canada) in 1999. The Quebec Government introduced an optional mixed compensation (MC) scheme for...

Dans ce travail, nous cherchons à déterminer l'impact des mesures actives d'insertion sur les transitions des jeunes prestataires masculins de l'aide de dernier recours sur le marché du travail. La richesse des données à notre disposition nous permet de recréer de façon très détaillée...

Social interactions arguably provide a rationale for several important phenomena, from smoking and other risky behavior in teens to e.g., peer effects in school performance. We study social interactions in dynamic economies. For these economies, we provide existence (Markov Perfect Equilibrium...

This paper aims at opening the black box of peer effects in adolescent weight gain. Using Add Health data on secondary schools in the U.S., we investigate whether these effects partly flow through the eating habits channel. Adolescents are assumed to interact through a friendship social network....

We provide the first empirical application of a new approach proposed by Lee (2007) to estimate peer effects in a linear-in-means model. This approach allows to control for group-level unobservable and to solve the reflection problem. We investigate peer effects in student achievement in...