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consumption-pattern based inequality index that summarizes the projection of inequality through expenditure patterns. Estimation …
Persistent link: https://www.econbiz.de/10011338007
In this paper we consider an empirical collective household model of time allocation for twoearnerhouseholds. The novelty of this paper is that we estimate a version of the collectivehousehold model, where the internally produced goods and the externally purchased goodsare assumed to be public....
Persistent link: https://www.econbiz.de/10011374423
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incomplete markets model and find that advance information reduces households' income forecast errors by 15%. Our estimation …
Persistent link: https://www.econbiz.de/10013186823
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between 1988 and 2003 using a two-stage estimation procedure. In the first stage, we use data on 9820 firms from twenty …
Persistent link: https://www.econbiz.de/10011377465
In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...
Persistent link: https://www.econbiz.de/10011334849
In this paper we derive a market value for Guaranteed Annuity Optionusing martingale modeling techniques. Furthermore, we show how to construct a static replicating portfolio of vanillainterest rate swaptions that replicates the Guaranteed Annuity Option. Finally, we illustrate with historical...
Persistent link: https://www.econbiz.de/10011326973
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