Our trading strategy is inspired from the paper "implied volatility indices as leading indicators of stock index returns?", Giot (2002,[3]). It uses stylized facts observed in stock markets: the so called "leverage effect", the clustering and the mean-reverting behaviour of the implied...

This paper uses comparable international data to examine the extent and wage effects of skill mismatches among European university graduates. The results show that the mismatched earn on average 11.7% less than their well-matched counterparts. This effect, however, cannot be regarded as constant...

In this paper I examine the Okun–Friedman hypothesis of the link between inflation and inflation uncertainty using historical international data on the monthly CPI. An indicator of inflation uncertainty at the two-years-ahead horizon is derived from a time-series model of inflation with...

This paper explores the connection between education and wage inequality in nine European countries. We exploit the quantile regression technique to calculate returns to lower secondary, upper secondary and tertiary education at different points of the wage distribution. We find that in most...

Abstract: I apply the Beveridge-Nelson business cycle decomposition method to the time series of per capita murder in the State of Massachusetts. (1933-2005). Separating out “permanent” from “cyclical” murder, I hypothesize that the cyclical part coincides with documented waves of...

In this paper we explore the connection between education and wage inequality in Spain for the period 1994-2001. Drawing on quantile regression, we describe the conditional wage distribution of different populations groups. We find that higher education is associated with higher wage dispersion....

In this study we test the mean-variance capital asset pricing model (CAPM) developed by Sharpe (1965) Lintner (1966) on individual stocks traded at Karachi Stock Exchange (KSE), the main equity market in Pakistan for the period 1993-2004 using daily and monthly data. The empirical findings do...

International evidence shows that returns to education are increasing when moving up along the wage distribution. While researchers have focused on the inequality implications of this finding, little attention has been paid to its causes. This paper asks whether the over-education phenomenon is...

According to Katz [6] some of the basic notions of probability existed in ancient civilizations. In The Talmud and in Roman calculations of annuities there is some evidence of this. However, no record of numerical probability calculations exists. Hald [5], Bernstein [1] and Katz [6] agree that...

“Okun’s Law” states a 3:1 proportion between percent growth in U. S. real GNP and percent decrease in the rate of unemployment. This paper argues that this ratio is actually a Pi:1 proportion, heretofore unrecognized because it is displayed through a form of mathematic / harmonic inverse....