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Schilling, Linda - 2018

simplest form implies that Bitcoin prices form a martingale. We derive conditions, under which Bitcoin speculation cannot …

Persistent link: https://www.econbiz.de/10012922218

Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference

Clark, Todd E. - 2011

a zero mean martingale difference against the alternative that it is linearly predictable. Under the null of no …

Persistent link: https://www.econbiz.de/10013125710

Spectral Based Testing of the Martingale Hypothesis

Durlauf, Steven N. - 2007

This paper proposes a method of testing whether a time series is a martingale. The procedure develops an asymptotic … theory for the shape of the spectral distribution function of the first differences. Under the null hypothesis, this shape … against particular alternatives. Application of the test to stock prices finds some evidence against the random walk theory …

Persistent link: https://www.econbiz.de/10012776740

Analyzing the Spectrum of Asset Returns : Jump and Volatility Components in High Frequency Data

Aït-Sahalia, Yacine - 2010

finer characteristics of these components such as the degree of activity of the jumps. We extend the existing theory to …

Persistent link: https://www.econbiz.de/10013146946

A Martingale Representation for Matching Estimators

Abadie, Alberto - 2010

article establishes a martingale representation for matching estimators. This representation allows the use of martingale … the theory, we derive the asymptotic distribution of a matching estimator when matching is carried out without replacement …

Persistent link: https://www.econbiz.de/10012757843

The Impact of Young Workers on the Aggregate Labor Market

Shimer, Robert - 2000

and destruction in manufacturing support this theory. I also reconcile these results with existing evidence on the labor …

Persistent link: https://www.econbiz.de/10014173992

Exchange Rates and Local Labor Markets

Goldberg, Linda S.; Tracy, Joseph S. - 2000

We document the consequences of real exchange rate movements for the employment, hours, and hourly earnings of workers in manufacturing industries across individual states. Exchange rates have statistically significant wage and employment implications in these local labor markets. The importance...

Persistent link: https://www.econbiz.de/10014193865

Household Production and the Excess Sensitivity of Consumption to Current Income

Baxter, Marianne; Jermann, Urban J. - 2000

Empirical research on the permanent income hypothesis (PIH) has found that consumption growth is excessively sensitive to predictable changes in income. This finding is interpreted as strong evidence against the PIH. We propose an explanation for apparent excess sensitivity that is based on a...

Persistent link: https://www.econbiz.de/10014196816

Prices and Coupons for Breakfast Cereals

Nevo, Aviv; Wolfram, Catherine - 2000

This paper explores the relationship between shelf prices and manufacturers' coupons for 25 ready-to-eat breakfast cereals. Contrary to the predictions of static monopoly price discrimination, we find the shelf prices for a particular brand in a particular city are generally lower during periods...

Persistent link: https://www.econbiz.de/10014201979

Optimal Income Transfer Programs : Intensive Versus Extensive Labor Supply Responses

Saez, Emmanuel - 2022

This paper investigates the optimal income transfer problem at the low end of the income distribution. The government maximizes a social welfare function and faces the traditional equity-efficiency trade-off. The paper models labor supply behavioral responses along the intensive margin (hours or...

Persistent link: https://www.econbiz.de/10014153982