Similar Search Results

Tail probabilities for regression estimators

Mikosch, Thomas; Vries, Casper G. de - 2006

Estimators of regression coefficients are known to be asymptotically normally distributed, provided certain regularity conditions are satisfied. In small samples and if the noise is not normally distributed, this can be a poor guide to the quality of the estimators. The paper addresses this...

Persistent link: https://www.econbiz.de/10011349717

Commuters' preferences for fast and reliable travel

Koster, Paul; Koster, Hans - 2013

Persistent link: https://www.econbiz.de/10010191398

Forecasting value-at-risk under temporal and portfolio aggregation

Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015

We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a … based on asset class, or into a single portfolio. We compare the impact of aggregation to that of choosing a model for the … that the degree of temporal aggregation is most important. Daily returns form the best basis for VaR forecasts. Modelling …

Persistent link: https://www.econbiz.de/10011431503

Finite sample optimality of score-driven volatility models

Blasques, Francisco; Lucas, André; Vlodrop, Andries van - 2017

We study optimality properties in finite samples for time-varying volatility models driven by the score of the predictive likelihood function. Available optimality results for this class of models suffer from two drawbacks. First, they are only asymptotically valid when evaluated at the...

Persistent link: https://www.econbiz.de/10011772958

Total factor productivity and the role of entrepreneurship

Erken, Hugo; Donselaar, Piet; Thurik, Adriaan R. - 2009 - Current version: May 2009

Total factor productivity of twenty OECD countries for a recent period (1971-2002) is explained using six different models based on the established literature. Traditionally, entrepreneurship is not dealt with in these models. In the present paper it is shown that – when this variable is added...

Persistent link: https://www.econbiz.de/10011378136

On taxation in a two-sector endogenous growth model with endogenous labor supply

Hek, Paul A. de - 2003

This paper examines the effects of taxation on long-run growthin a two-sector endogenous growth model with (i) physical capitalas an input in the education sector and (ii) leisure as anadditional argument in the utility function. The analysis of theeffects of taxation - including income...

Persistent link: https://www.econbiz.de/10011333258

Education, growth and income inequality

Teulings, Coen N.; Rens, Thijs van - 2003 - This version: February 2003

Estimates of the effect of education on GDP (the social return) have been hard to reconcile with micro evidence on the private return to schooling. We present a simple explanation combining two ideas: imperfect substitution and endogenous skill-biased technological progress and use cross-country...

Persistent link: https://www.econbiz.de/10011325967

Follow the money : does the financial sector intermediate natural resource windfalls?

Beck, Thorsten; Poelhekke, Steven - 2017 - This version: 18 February 2017

The need to absorb windfalls gains and manage them appropriately has been discussed extensively by academics and policy makers alike. We explore the role of the financial sector in intermediating these windfalls. Controlling for the level of financial development, inflation, GDP growth and...

Persistent link: https://www.econbiz.de/10011602734

Robot cars and dynamic bottleneck congestion : the effects on capacity, value of time and preference heterogeneity

Berg, Vincent A. C. van den; Verhoef, Erik T. - 2015 - This version: 9 June 2015

"Robot cars" are cars that allow for automated driving. They can drive closer together than human driven "normal cars" and thereby raise road capacity. Obtaining a robot car instead of a normal car can also be expected to lower the userś value of time losses (VOT), because travel time can be...

Persistent link: https://www.econbiz.de/10010532595

Combining micro and macro unemployment duration data

Berg, Gerard J. van den; Klaauw, Bas van der - 1998

We combine micro and macro unemployment duration data to study the effects of the business cycle on the outflow from unemployment. We allow the cycle to affect individual exit probabilities of unemployed workers as well as the composition of the total inflow into unemployment. We estimate the...

Persistent link: https://www.econbiz.de/10011299970

1
2
3
4
5
6
7
8
9
10
Next
Last