This paper examines the evolution of the returns to education in Portugal over the 1980s andearly 1990s. The main findings indicate that the returns to education have increased,particularly after joining the European Union in 1986. Since this occurred along with anincrease in the level of...

We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...

The increasing availability of financial market data at intraday frequencies has not only led to the development of improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source for longer horizon volatility forecasts. In this paper...

We document a consistent and robust relation between expected equity premia and common risk factors constructed on the basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors capture patterns in returns on regional and global...

We investigate the major choice of college graduates where we make choice dependent on expected initial wages and expected wage growth per major. We build a model that allows us to estimate these factors semiparametrically and that corrects for selection bias. We estimate the model on the...

This paper proposes a new approach to identify the wage effects of training.The idea is to narrow down the comparison group by only taking into consideration theworkers who wanted to participate in training but did not do so because of some randomevent. The point estimate of the return to...