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Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution
Pesaran, Bahram; Pesaran, M. Hashem - 2021
This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...
Persistent link: https://www.econbiz.de/10013316934
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On the Multivariate Analysis of the Lisbon Process
Tausch, Arno - 2007
Starting from Professor Kornai's assertion about the necessity to focus on the long-term perspectives of the transformation process, we analyze in this paper the Lisbon performance of the countries of the European Union from such a long-term, structural perspective. We present in a simple form...
Persistent link: https://www.econbiz.de/10012775462
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The Last Refuge of a Scoundrel? Patriotism and Tax Compliance
Konrad, Kai A. - 2009
We study the effects of patriotism on tax compliance. In particular, we assume that individuals feel a (random draw of) warm glow from honestly paying their taxes. A higher expected warm glow reduces the government's optimal audit probability and yields higher tax compliance. Second, individuals...
Persistent link: https://www.econbiz.de/10012763928
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The Effects of Work-Life Benefits on Employment Outcomes in Canada : A Multivariate Analysis
Fang, Tony - 2019
work-life benefits and various employment outcomes in the Canadian labour market. Whilst the theory of compensating wage … differentials hypothesizes an inevitable trade-off between higher wages and non-wage benefits, the efficiency wage theory suggests … otherwise. The empirical evidence broadly supports the efficiency wage theory, thus rejecting the compensating wage …
Persistent link: https://www.econbiz.de/10012870159
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Wage Structure Effects of International Trade : Evidence from a Small Open Economy
Du Caju, Philip - 2011
In the last decades, international trade has increased between industrialised countries and between high- and low-wage countries. This important change has raised questions on how international trade affects the labour market. In this spirit, this paper aims to investigate the impact of...
Persistent link: https://www.econbiz.de/10013127724
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Are Intra-Household Allocations Policy Neutral? Theory and Empirical Evidence
Chiappori, Pierre-Andre - 2011
We develop a collective household model with spousal matching in which there exists marital gains to assortative matching and marriage quality for each couple is revealed ex post. Changes in alimony laws are shown to affect existing couples and couples-to-be differently. For existing couples,...
Persistent link: https://www.econbiz.de/10013127939
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Heterogeneous Productivity in Voluntary Public Good Provision : An Experimental Analysis
Fellner-Röhling, Gerlinde - 2011
This article experimentally examines voluntary contributions when group members' marginal returns to the public good vary. The experiment implements two marginal return types, low and high, and uses the information that members have about the heterogeneity to identify the applied contribution...
Persistent link: https://www.econbiz.de/10013128231
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Business Conditions and Default Risks Across Countries
Pflüger, Michael - 2011
The risk of default that business firms face is very significant and differs widely across countries. This paper explores the links between countries' business conditions and international trade embedment and the default risk at the country level from a theoretical point of view. Our main...
Persistent link: https://www.econbiz.de/10013128748
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Wage Premia for Newly Hired Employees : Theory and Evidence
Kampkötter, Patrick - 2011
We investigate wage differences between newly hired and incumbent employees. We show in a formal model that when employees care for wages as well as match-specific utility, incumbents earn less than new recruits if and only if firm-specific human capital is not too important. The existence and...
Persistent link: https://www.econbiz.de/10013129084
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Nowcasting Business Cycles Using Toll Data
Askitas, Nikos - 2011
Nowcasting has been a challenge in the recent economic crisis. We introduce the Toll Index, a new monthly indicator for business cycle forecasting and demonstrate its relevance using German data. The index measures the monthly transportation activity performed by heavy transport vehicles across...
Persistent link: https://www.econbiz.de/10013129098