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Bollerslev, Tim; Christoffersen, Peter F.; Diebold, Francis - National Bureau of Economic Research (NBER) - 2005

forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of …

Persistent link: https://www.econbiz.de/10005829302

Financial Risk Measurement for Financial Risk Management

Bollerslev, Tim; Christoffersen, Peter F.; Diebold, Francis - National Bureau of Economic Research (NBER) - 2012

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …

Persistent link: https://www.econbiz.de/10011271444

Modeling and Forecasting Realized Volatility

Bollerslev, Tim; Diebold, Francis; Andersen, Torben G.; … - National Bureau of Economic Research (NBER) - 2001

This paper provides a general framework for integration of high-frequency intraday data into the measurement … the large covariance matrices relevant in asset pricing, asset allocation and financial risk management applications. …

Persistent link: https://www.econbiz.de/10005774835

Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches

Petersen, Mitchell - National Bureau of Economic Research (NBER) - 2005

In both corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these data sets, the residuals may be correlated across firms and across time, and OLS standard errors can be biased. Historically, the two literatures have used different solutions...

Persistent link: https://www.econbiz.de/10005040616

Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility

Bollerslev, Tim; Diebold, Francis; Andersen, Torben G. - National Bureau of Economic Research (NBER) - 2005

A rapidly growing literature has documented important improvements in financial return volatility measurement and …

Persistent link: https://www.econbiz.de/10005049940

Do Community Colleges provide a Viable Pathway to a Baccalaureate Degree?

Long, Bridget Terry; Kurlaender, Michal - National Bureau of Economic Research (NBER) - 2008

Community colleges have become an important entryway for students intending to complete a baccalaureate degree. However, many question the viability of the transfer function and wonder whether students suffer a penalty for starting at a two-year institution. This paper examines how the outcomes...

Persistent link: https://www.econbiz.de/10005828563

Maximum Likelihood Estimation of Latent Affine Processes

Bates, David S. - National Bureau of Economic Research (NBER) - 2003

-based estimates: in particular, more substantial and time-varying jump risk. …

Persistent link: https://www.econbiz.de/10005828883

Is There Dowry Inflation in South Asia?

Arunachalam, Raj; Logan, Trevon D. - National Bureau of Economic Research (NBER) - 2008

This paper is the first systematic attempt to measure the existence and degree of dowry inflation in South Asia. The popular press and scholarly literature have assumed dowry inflation in South Asia for some time, and there are now a number of theoretical papers that have attempted to explain...

Persistent link: https://www.econbiz.de/10005829188

A Heuristic Method for Extracting Smooth Trends from Economic Time Series

Rotemberg, Julio - National Bureau of Economic Research (NBER) - 1999

This paper proposes a method for separating economic time series into a smooth component whose mean varies over time (the trend') and a stationary component (the cycle'). The aim is to make the trends as smooth as possible while also producing cycles with plausible properties. While the main...

Persistent link: https://www.econbiz.de/10005829431

Rising Wage Inequality: The Role of Composition and Prices

Autor, David; Katz, Lawrence F.; Kearney, Melissa S. - National Bureau of Economic Research (NBER) - 2005

During the early 1980s, earnings inequality in the U.S. labor market rose relatively uniformly throughout the wage distribution. But this uniformity gave way to a significant divergence starting in 1987, with upper-tail (90/50) inequality rising steadily and lower tail (50/10) inequality either...

Persistent link: https://www.econbiz.de/10005829613

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