This paper considers a multivariate t version of the Gaussian dynamic conditional correlation(DCC) model proposed by Engle (2002), and suggests the use of devolatized returnscomputed as returns standardized by realized volatilities rather than by GARCH type volatilityestimates. The t-DCC...

A recent survey of 54 micro-econometric studies reveals that exporting firms are moreproductive than non-exporters. On the other hand, previous empirical studies show thatexporting does not necessarily improve productivity. One possible reason for this result isthat most previous studies are...

Using unique recently released nationally representative high-quality data at the plant level,this paper presents the first comprehensive evidence on the relationship between productivityand size of the export market for Germany, a leading actor on the world market formanufactured goods...<br<

This paper considers the implications of the permanent/transitory decomposition of shocksfor identification of structural models in the general case where the model might contain morethan one permanent structural shock. It provides a simple and intuitive generalization of theinfluential work of...

This paper extends the cross sectionally augmented panel unit root test proposed byPesaran (2007) to the case of a multifactor error structure. The basic idea is to exploitinformation regarding the unobserved factors that are shared by other time series in additionto the variable under...