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Predictability of asset returns and the efficient market hypothesis
Pesaran, M. Hashem - 2010
This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...
Persistent link: https://www.econbiz.de/10003985756
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Duration models and point processes
Florens, Jean-Pierre (contributor);  … - 2007
This survey is devoted to the statistical analysis of duration models and point processes. The first section introduces specific concepts and definitions for single-spell duration models. Section two is devoted to the presentation of conditional duration models which incorporate the effects of...
Persistent link: https://www.econbiz.de/10003635142
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Time aggregation and state dependence in welfare receipt
Bhuller, Manudeep; Brinch, Christian; Königs, Sebastian - 2016
Dynamic discrete-choice models are an important tool in studies of state dependence in benefit receipt. A common assumption of such models is that benefit receipt sequences follow a conditional Markov process. This property has implications for how estimated period-to-period benefit transition...
Persistent link: https://www.econbiz.de/10011453987
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A general methodology to measure labour market dynamics
Fiaschi, Davide; Tealdi, Cristina - 2021
rates starting from discrete time observations provided in longitudinal datasets, allowing for any number of states. We …, based on the estimate of the transition rates between labour market states. We show how to estimate instantaneous transition …
Persistent link: https://www.econbiz.de/10012494876
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The downward spiral
Greenwood, Jeremy; Guner, Nezih; Kopecky, Karen A. - 2022
There have been more than 500,000 opioid overdose deaths since 2000. To analyze the opioid epidemic, a model is constructed where individuals choose whether to use opioids recreationally, knowing the probabilities of addiction and dying. These odds are functions of recreational opioid usage....
Persistent link: https://www.econbiz.de/10013382024
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Measurement error in subjective expectations and the empirical content of economic models
Drerup, Tilman; Enke, Benjamin; Gaudecker, Hans-Martin von - 2014
While stock market expectations are among the most important primitives of portfolio choice models, their measurement has proved challenging for some respondents. We argue that the magnitude of measurement error in subjective expectations can be used as an indicator of the degree to which...
Persistent link: https://www.econbiz.de/10010414230
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Econometrics of individual labor market transitions
Fougère, Denis (contributor); Kamionka, Thierry (contributor) - 2005
processes using discrete-time panel observations. Here the main question is whether the discrete-time panel observation of a … maximum-likelihood and bayesian procedures for estimating the transition intensity matrix governing the process evolution …
Persistent link: https://www.econbiz.de/10003287608
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Empirical modeling of deprivation contagion among social exclusion dimensions (using MCMC methods)
Poggi, Ambra (contributor);  … - 2007
"Economic theory and empirical evidence clearly show that social exclusion dimensions are inter …
Persistent link: https://www.econbiz.de/10003451838
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Comparative analysis of labor market dynamics using Markov processes: an application to informality
Bosch Mossi, Mariano (contributor);  … - 2007
This paper discusses a set of statistics for examining and comparing labor market dynamics based on the estimation of continuous time Markov transition processes. It then uses these to establish stylized facts about dynamic patterns of movement using panel data from Argentina, Brazil and Mexico....
Persistent link: https://www.econbiz.de/10003557346
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Determinants of transitions across formal
Tansel, Aysıt; Ozdemir, Zeynel Abidin - 2015
first study of the determinants of worker transitions between various labor market states using panel data from Egypt. We … first provide a diagnosis of dynamic worker flows across different labor market states. We develop transition probabilities … by gender across different labor market states utilizing Markov transition processes. Next we identify the effects of …
Persistent link: https://www.econbiz.de/10010469678