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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 …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …
Persistent link: https://www.econbiz.de/10003586562
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Partisan impacts on the economy : evidence from prediction markets and close elections
Snowberg, Erik (contributor); Wolfers, Justin (contributor);  … - 2006
Political economists interested in discerning the effects of election outcomes on the economy have been hampered by the problem that economic outcomes also influence elections. We sidestep these problems by analyzing movements in economic indicators caused by clearly exogenous changes in...
Persistent link: https://www.econbiz.de/10003289884
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The phantom of the opera : cultural amenities, human capital, and regional economic growth
Falck, Oliver; Fritsch, Michael; Heblich, Stephan - 2010
We analyze the extent to which endogenous cultural amenities affect the spatial equilibrium share of high-human-capital employees. To overcome endogeneity, we draw on a quasi-natural experiment in German history and exploit the exogenous spatial distribution of baroque opera houses built as a...
Persistent link: https://www.econbiz.de/10008688861
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On the role of sectoral and national components in the wage bargaining process
Dreger, Christian; Reimers, Hans-Eggert - 2010
This paper provides an empirical analysis on the determination of wages at the sectoral level in main industrial economies. Nominal wages are bargained between labour unions and employers in imperfect competitive markets, where spillovers across sectors might occur. Using a principal component...
Persistent link: https://www.econbiz.de/10003959628
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The social side of early human capital formation: using a field experiment to estimate the causal impact of neighborhoods
List, John A.; Momeni, Fatemeh; Zenou, Yves - 2020
The behavioral revolution within economics has been largely driven by psychological insights, with the sister sciences playing a lesser role. This study leverages insights from sociology to explore the role of neighborhoods on human capital formation at an early age. We do so by estimating the...
Persistent link: https://www.econbiz.de/10012389402
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Towards a theory of life satisfaction accounting for stability, change and volatility in 25-year life trajectories in Germany
Headey, Bruce; Muffels, Ruud J. A. - 2016
theory entails three sets of propositions in which we attempt to account for stability, change and also volatility. First, it …-individual differences in the volatility/variability of LS over time; why some individuals display high volatility and others low, even …
Persistent link: https://www.econbiz.de/10011502854
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Exchange rate volatility effects on the German labour market : a survey of recent results and extensions
Buscher, Herbert S.; Mueller, Claudia - 1999
In this paper, a survey on theoretically expected and empirically proved impacts of exchange rate volatility is given …. With regard to the West German unemployment, the effects of volatility are empirically analysed using three different … volatility measures and four country groups. In autoregressive models, a significant disturbing impact of volatility can be found …
Persistent link: https://www.econbiz.de/10011294706
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Decomposing excess returns in stochastic linear models
Lin, Carl - 2011
We present a theorem helpful in estimating the mean and variance of a linear function with arbitrary multivariate randomness in its coefficients and variables. We derive a generalized decomposition result from two random linear functions in which the result can be applied to most models using...
Persistent link: https://www.econbiz.de/10009524390
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Less myth, more measurement : decomposing excess returns from the 1989 minimum wage hike
Lin, Carl - 2012
In the book Myth and Measurement, Card and Krueger (1995) examine the economic impact of the 1989 minimum wage hike on the welfare of 110 firms which employ a disproportionate number of minimum-wage workers. Their results show mixed evidence that excess returns associated with news about the...
Persistent link: https://www.econbiz.de/10009528836
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Corporate efficiency, credit status and investment
Quader, Manzur; Taylor, Karl - 2014
Using a panel of 1122 UK firms listed on the London Stock Exchange over the period of 1981 to 2009, endogenous switching regression models (SRM) incorporating a predicted corporate efficiency index are estimated in this paper in an effort to clarify the role of cash flow in examining the impact...
Persistent link: https://www.econbiz.de/10010379263