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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram (contributor); … - 2007

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …

Persistent link: https://www.econbiz.de/10003586562

Dependence measures in bivariate gamma frailty models

Berg, Gerard J. van den; Effraimidis, Georgios - 2014

distributions. For such cases we calculate general bounds for two association measures, Pearson's correlation coefficient and …

Persistent link: https://www.econbiz.de/10010339585

Business education and portfolio returns

Altmejd, Adam; Jansson, Thomas; Karabulut, Yigitcan - 2024

Using university admission cutoffs that generate exogenous variation in college-major choices, we provide causal evidence that enrollment in a business or economics program leads individuals to invest significantly more in the stock market, earn higher portfolio returns, and ultimately...

Persistent link: https://www.econbiz.de/10014529731

Skewness expectations and portfolio choice

Drerup, Tilman H.; Wibral, Matthias; Zimpelmann, Christian - 2022

Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We provide a direct test of this prediction in a representative sample of the Dutch population. Using individual-level data on return expectations for a broad...

Persistent link: https://www.econbiz.de/10012805556

The variability and volatility of sleep: an archetypal approach

Hamermesh, Daniel S.; Pfann, Gerard A. - 2022

individuals' sleep time exhibits both variability and volatility characterized by stationary autoregressive conditional … young children at home. Volatility is greater among parents with young children, slightly greater among men than women, but … independent of other demographics. A theory of economic incentives to minimize the dispersion of sleep predicts that higher …

Persistent link: https://www.econbiz.de/10012805079

Testing the correlated random coefficient model

Heckman, James J.; Schmierer, Daniel; Urzua, Sergio - 2009

The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...

Persistent link: https://www.econbiz.de/10003907131

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10009530816

Efficient probit estimation with partially missing covariates

Conniffe, Denis; O'Neill, Donal - 2009

A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...

Persistent link: https://www.econbiz.de/10003829113

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

Misspecification testing in a class of conditional distributional models

Rothe, Christoph; Wied, Dominik - 2012

We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...

Persistent link: https://www.econbiz.de/10009531435

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