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Pricing CAC 40 Index Options under Asymmetry of Information.

Aboura, Sofiane - Université Paris-Dauphine - 2005

This article analyses, for the first time, the financial impact on the French market of September 11th, 2001. Was there any information asymmetry around this date? How deep was the reaction of the French investors? This study measures the magnitude of the shock in the stock price process.

Persistent link: https://www.econbiz.de/10008572194

GARCH option pricing under skew.

Aboura, Sofiane - Université Paris-Dauphine - 2005

European style options for various maturities. We analyze the validity of the model given its ability to price one-day ahead … out-of-sample call options and also its ability to capture the empirical dynamic of the volatility skew. First, we get a … severe mispricing for deep out-of-the-money and short term call options. Second, this model reveals a good ability to capture …

Persistent link: https://www.econbiz.de/10008520036

The effectiveness of interventions to reduce informality in low- and middle income countries

Jessen, Jonas; Kluve, Jochen - 2019

Labor markets in low- and middle income countries are characterized by high levels of informality. A multitude of interventions have therefore been implemented in many countries with the objective to increase the formalization of firms and workers, including information campaigns, simplification...

Persistent link: https://www.econbiz.de/10012037932

Practical significance, meta-analysis and the credibility of economics

Stanley, Tom D.; Doucouliagos, Chris - 2019

Recently, there has been much discussion about replicability and credibility. By integrating the full research record, increasing statistical power, reducing bias and enhancing credibility, meta-analysis is widely regarded as 'best evidence'. Through Monte Carlo simulation, closely calibrated on...

Persistent link: https://www.econbiz.de/10012034162

How does pension eligibility affect labor supply in couples?

Lalive, Rafael; Parrotta, Pierpaolo - 2016

Many OECD countries are reforming their pension systems. We investigate how pension eligibility affects labor supply in couples. Inspired by a theoretical framework, we measure how the sharp change in the pension eligibility of both partners affects labor force participation. We find that both...

Persistent link: https://www.econbiz.de/10011581576

Microeconometric evaluation of the active labour market policy in Switzerland

Gerfin, Michael; Lechner, Michael - 2000

In the second part of the 1990's Switzerland conducted an ambitious active labour market policy (ALMP) encompassing a wide variety of programmes. We evaluate the effects of these programmes on the individual employment probability of potential participants. Our econometric analysis uses...

Persistent link: https://www.econbiz.de/10011333282

The effect of early life health on later life home care use : the mediating role of household composition

Bijwaard, Govert; Alessie, Rob; Angelini, Viola - 2018

In this paper we estimate the effect of early life health on home care use later in life, and we analyse whether this effect is mediated through household composition. We use Dutch administrative data on men born in 1944-1947 who were examined for military service between 1961-1965 and we link...

Persistent link: https://www.econbiz.de/10011895594

Knowing what works : the case for rigorous program evaluation

Schmidt, Christoph M. - 1999

Since interventions by the public sector generally commit substantial societal resources, the evaluation of effects and costs of policy interventions is imperative. This paper outlines why program evaluation should follow well-respected scientific standards and why it should be performed by...

Persistent link: https://www.econbiz.de/10011316914

Identification and estimation of causal effects of multiple treatments under the conditional independence assumption

Lechner, Michael - 1999

The assumption that the assignment to treatments is ignorable conditional on attributes plays an important role in the applied statistic and econometric evaluation literature. Another term for it is conditional independence assumption. This paper discusses identification when there are more than...

Persistent link: https://www.econbiz.de/10011317474

The effects of public sector sponsored training on individual employment performance in East Germany

Hujer, Reinhard; Wellner, Marc - 2000

This study analyses the effects of public sector sponsored vocational training on individual unemployment and employment duration in East Germany. The data is taken from the German Socio-Economic Panel (GSOEP). The empirical analysis is limited to training measures that took place between July...

Persistent link: https://www.econbiz.de/10011325978