In this paper we compare the predictive abilility of Stochastic Volatility (SV)models to that of volatility forecasts implied by option prices. We develop anSV model with implied volatility as an exogeneous var able in the varianceequation which facilitates the use of statistical tests for...

In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...

In this paper we derive a structural measure for labor market density based on the Ellison and Glasear (1997) Index for industry concentration. This labor market density measure serves as a proxy for the number of workers that can reach a certain work area within a reasonal amount of traveling...

This discussion paper has resulted in an article in 'Economica', 2002, 69(273), 21-40.

This paper describes a search model with a continuum of worker and job types, free entry and transferable utility. We apply a second-order Taylor expansion to characterize the equilibrium, derive the cost of search and show that it is decreasing in the substitutability of worker types. This cost...

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether or these cycles coincide. Recent papers_new suggest by their empirical research set-up that they do, or at least that defaults and credit...

The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...

We analyze the implications of multiple applications by job seekers for the microfoundations of the matching function. We emphasize a coordination failure caused by multiple applications, namely, that firms can waste resources processing applicants who are ultimately hired elsewhere.

We provide a detailed discussion of the time series modelling of daily tax revenues. The mainfeature of daily tax revenue series is the pattern within calendar months. Standard seasonal timeseries techniques cannot be used since the number of banking days per calendar month varies andbecause...