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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

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

Ten do it better, do they?: An empirical analysis of an old football myth

Caliendo, Marco (contributor); Radić, Dubravko (contributor) - 2006

In this paper we investigate how the expulsion of a player influences the outcome of a football match. Common sense implies a negative impact for the affected team. However, an old football myth suggests that such an expulsion might also be beneficial since it increases the team spirit as well...

Persistent link: https://www.econbiz.de/10003330461

Pollution abatement and control expenditure in Romania : a multilevel analysis

Caporale, Guglielmo Maria; Rault, Christophe; Sova, Robert - 2010

The transition process in Central and Eastern Europe was associated with growing environmental awareness. This paper analyses the determinants of Pollution Abatement and Control Expenditure (PACE) at plant level in the case of Romania using survey data and a Multilevel Regression Model (MRM)....

Persistent link: https://www.econbiz.de/10003986298

The microeconometric estimation of treatment effects : an overview

Caliendo, Marco (contributor); Hujer, Reinhard (contributor) - 2005

The need to evaluate the performance of active labour market policies is not questioned any longer. Even though OECD countries spend significant shares of national resources on these measures, unemployment rates remain high or even increase. We focus on microeconometric evaluation which has to...

Persistent link: https://www.econbiz.de/10003094328

Some practical guidance for the implementation of propensity score matching

Caliendo, Marco (contributor); Kopeinig, Sabine (contributor) - 2005

Propensity Score Matching (PSM) has become a popular approach to estimate causal treatment effects. It is widely applied when evaluating labour market policies, but empirical examples can be found in very diverse fields of study. Once the researcher has decided to use PSM, he is confronted with...

Persistent link: https://www.econbiz.de/10002772740

Visual inference and graphical representation in regression discontinuity designs

Korting, Christina; Lieberman, Carl; Matsudaira, Jordan D. - 2021

Despite the widespread use of graphs in empirical research, little is known about readers' ability to process the statistical information they are meant to convey ("visual inference"). We study visual inference within the context of regression discontinuity (RD) designs by measuring how...

Persistent link: https://www.econbiz.de/10012792608

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

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

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