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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 … 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 …
Persistent link: https://www.econbiz.de/10013316934
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Testing the Correlated Random Coefficient Model
Heckman, James J. - 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/10013154992
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Intrahousehold Resource Allocation and Individual Poverty : Assessing Collective Model Predictions Against Direct Evidence on Sharing
Bargain, Olivier; Lacroix, Guy; Tiberti, Luca - 2023
-capita expenditures and ignore the extent of within-household inequality. Recent advances in the estimation of collective models suggest …
Persistent link: https://www.econbiz.de/10014254963
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Deconstructing Theories of Overeducation in Europe : A Wage Decomposition Approach
McGuinness, Seamus - 2016
rich, previously unavailable, set of factors in the estimation of the effect of overeducation on earnings. Oaxaca …
Persistent link: https://www.econbiz.de/10012999038
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Dependence Measures in Bivariate Gamma Frailty Models
van den Berg, Gerard J. - 2014
distributions. For such cases we calculate general bounds for two association measures, Pearson's correlation coefficient and …
Persistent link: https://www.econbiz.de/10013055564
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Educational Homogamy and Assortative Mating Have Not Increased
Gihleb, Rania - 2016
sensitive to how educational categories are chosen. We also find no evidence that the correlation between spouses' potential …
Persistent link: https://www.econbiz.de/10012977330
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Exponent of Cross-Sectional Dependence : Estimation and Inference
Bailey, Natalia - 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/10013110862
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Bounds with Imperfect Instruments : Leveraging the Implicit Assumption of Intransitivity in Correlations
Wiseman, Nathan - 2017
Instrumental variables (IV) is an indispensable tool for establishing causal relationships between variables. Recent work has focused on improving bounds for cases when an ideal instrument does not exist. We leverage a principle, "Intransitivity in Correlations," related to an under-utilized...
Persistent link: https://www.econbiz.de/10012959663
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Correlation Neglect in Belief Formation
Enke, Benjamin - 2013
-connected information sources, implying a pattern of "overshooting" beliefs. Additionally, in an experimental asset market, correlation …
Persistent link: https://www.econbiz.de/10013082140
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Publication Bias and Editorial Statement on Negative Findings
Blanco-Perez, Cristina - 2019
In February 2015, the editors of eight health economics journals sent out an editorial statement which aims to reduce the extent of specification searching and reminds referees to accept studies that: "have potential scientific and publication merit regardless of whether such studies' empirical...
Persistent link: https://www.econbiz.de/10012864882