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

Pesaran, Bahram; Pesaran, Mohammad Hashem - 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 …

Persistent link: https://www.econbiz.de/10010276254

Real Wages and the Cycle: The View from the Frequency Domain

Hart, Robert A.; Malley, James R.; Woitek, Ulrich - 2001

In the time domain, the observed cyclical behavior of the real wage hides a range of economic influences that give rise to cycles of differing lengths and amplitudes. This may serve to produce a distorted picture of wage cyclicality. Here, we employ frequency domain methods that allow us...

Persistent link: https://www.econbiz.de/10010262530

Inequality and the GB2 income distribution

Jenkins, Stephen P. - 2007

The generalized entropy class of inequality indices is derived for Generalized Beta of the Second Kind (GB2) income …

Persistent link: https://www.econbiz.de/10010268420

Endogenous indoctrination: occupational choice, the evolution of beliefs, and the political economy of reform

Saint-Paul, Gilles - 2009

favourable to the market economy. Two parameters that govern this capacity to learn are social entropy and heritability. Social … entropy defines how predictable one's occupation is as a function of one's beliefs. Heritability is the weight of the family …'s beliefs in the determination of the priors of a new generation. Both heritability and social entropy reduce the bias and makes …

Persistent link: https://www.econbiz.de/10010271321

A Structural Empirical Model of Firm Growth, Learning, and Survival

Abbring, Jaap H.; Campbell, Jeffrey R. - 2003

We present a structural model of firm growth, learning, and survival and consider its identification and estimation. In …

Persistent link: https://www.econbiz.de/10010262756

Employment Effects of Dispersal Policies on Refugee Immigrants, Part I: Theory

Damm, Anna Piil; Rosholm, Michael - 2003

This paper formulates a partial search model in which unemployed individuals simultaneously search for job and location of residence. Most importantly, we show that, ceteris paribus, a decrease in current place utility increases the transition rate into a new location of residence and the...

Persistent link: https://www.econbiz.de/10010261631

Employment Effects of Dispersal Policies on Refugee Immigrants, Part II: Empirical Evidence

Damm, Anna Piil; Rosholm, Michael - 2003

into relocation to another municipality by joint estimation of the duration of the first non-employment spell and time … until relocation. The main estimation results are as follows: First, the hazard rate into first job is increasing in the …

Persistent link: https://www.econbiz.de/10010261632

Time, money, peers, and parents : some data and theories on teenage behavior

Kooreman, Peter - 2003

In the first part of the paper I analyze a data set on teenage behavior. The data is a sample of high school students in the Netherlands, and contains information on teenage time use, income, expenditures, and subjective measures of well-being and self-esteem. As all students in a sampled class...

Persistent link: https://www.econbiz.de/10010261636

Earnings instability of job stayers and job changers

Leonardi, Marco - 2003

I use the PSID to decompose the rise in wage inequality into a permanent and a transitory component. I consider separately job stayers and job changers. I find that earnings instability (the variance of the transitory component of earnings) increased much more among job changers than among job...

Persistent link: https://www.econbiz.de/10010261646

Potential, prizes and performance : testing tournament theory with professional tennis data

Sunde, Uwe - 2003

This paper tests two hypotheses from the theory of elimination tournaments: (i) that uneven tournaments, where the … contestants are ex ante heterogeneous, entail lower effort exertion; this is a prediction from agency theory that has not been … underlies any agency theory about elimination tournaments, and has been empirically tested in other contexts. The evidence …

Persistent link: https://www.econbiz.de/10010261647

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