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Wijnbergen, Sweder van - 2021

I show that the irreversibility of dying coupled with gradual information acquisition over time on the likely arrival and eventual effectiveness of vaccines confers a real option value to lockdown strategies that delay the incidence of a pandemic.The case for lockdown strategies becomes stronger...

Persistent link: https://www.econbiz.de/10012510750

Macroeconomic disasters and forward-looking consumers : historical evidence and evidence from the Covid-19 pandemic

Pozzi, Lorenzo; Sadaba, Barbara - 2021

estimation of panel data regressions for industrial economies using historical annual data (1870 - 2015) and recent quarterly …

Persistent link: https://www.econbiz.de/10012511037

They didn't know what they got till the crowd was gone

Ours, Jan C. van - 2024

This paper revisits the relationship between Covid-19-related absence of stadium attendance and match outcomes, analyzing five seasons of the top tier of professional football in the Netherlands. Empty stadiums caused home advantages to disappear completely due to home teams scoring fewer goals....

Persistent link: https://www.econbiz.de/10014496544

Working from home in the Netherlands : looking inside the blackbox of work and occupations

Mihaylov, Emil - 2022

The paper provides new evidence on the ability to work from home (WFH) for hundreds of Dutch occupations and examines how WFH is related to various occupation-specific characteristics. This is done by linking several publicly available datasets from Statistics Netherlands, which contain...

Persistent link: https://www.econbiz.de/10013468324

Decomposing portfolio value-at-risk : a general analysis

Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999

orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

Persistent link: https://www.econbiz.de/10011301159

A Bayesian analysis of unobserved component models using Ox

Bos, Charles S. - 2011

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

Persistent link: https://www.econbiz.de/10011386121

Relating stochastic volatility estimation methods

Bos, Charles S. - 2011

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

Persistent link: https://www.econbiz.de/10011386124

Analyzing and forecasting economic crises with an agent-based model of the euro area

Hommes, Cars H.; Poledna, Sebastian - 2023

We develop an agent-based model for the euro area that fulfils widely recommended requirements for nextgeneration macroeconomic models by i) incorporating financial frictions, ii) relaxing the requirement of rational expectations, and iii) including heterogeneous agents. Using macroeconomic and...

Persistent link: https://www.econbiz.de/10014233385

An epidemiological model of crisis spread across sectors in the United States

Janssens, Eva; Lumsdaine, Robin L.; Vermeulen, … - 2018

This paper develops a discrete-time epidemiological model for the spread of crises across sectors in the United States for the period 1952-2015. It is the first to use an epidemiological approach with macroeconomic (Flow of Funds) data. An extension of the usual one-period Markov model to a...

Persistent link: https://www.econbiz.de/10011794328

The persistence and nature of the labor reallocation shock during the COVID-19 crisis

Steijn, Mathieu P. A. - 2024

The COVID-19 crisis may have widely and permanently altered the labor market through the demand for skills. Crises tend to accelerate technological change. Previous recent crises were characterized by an acceleration of automation, which generally led to a decrease in middle-income jobs with...

Persistent link: https://www.econbiz.de/10014577919