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Closed-Form Likelihood Expansions for Multivariate Diffusions

Ait-Sahalia, Yacine - 2002

This paper provides closed-form expansions for the transition density and likelihood function of arbitrary multivariate diffusions. The expansions are based on a Hermite series, whose coefficients are calculated explicitly by exploiting the special structure afforded by the diffusion hypothesis....

Persistent link: https://www.econbiz.de/10012469758

A Multivariate Model of Strategic Asset Allocation

Campbell, John Y. - 2001

Much recent work has documented evidence for predictability of asset returns. We show how such predictability can affect the portfolio choices of long-lived investors who value wealth not for its own sake but for the consumption their wealth can support. We develop an approximate solution method...

Persistent link: https://www.econbiz.de/10012470152

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

Andersen, Torben G. - 2000

It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH. We consider two major dollar exchange rates, and we...

Persistent link: https://www.econbiz.de/10012471288

The Pre-Program Earnings Dip and the Determinants of Participation in a Social Program : Implications for Simple Program Evaluation Strategies

Heckman, James J. - 1999

The key to estimating the impact of a program is constructing the counterfactual outcome representing what would have happened in its absence. This problem becomes more complicated when agents self-select into the program rather than being exogenously assigned to it. This paper uses data from a...

Persistent link: https://www.econbiz.de/10012471825

Nonlinear Pricing and Misallocation

Bornstein, Gideon; Peter, Alessandra - National Bureau of Economic Research - 2024

firms charge higher markups, yet the allocation of resources across firms is efficient. Further, we point to a new source of …

Persistent link: https://www.econbiz.de/10015145095

Financial development and growth in the short and long run

Fisman, Raymond - 2004

"We analyze the relationship between financial development and inter-industry resource allocation in the short- and …

Persistent link: https://www.econbiz.de/10010523015

The Impact of Trade on Intraindustry Reallocation and Aggregate Industry Productivity : A Comment

Baldwin, Richard E. - 2004

production re-allocation effect. Our comment points out that the set-up assumed in the Melitz model displays a trade off between …

Persistent link: https://www.econbiz.de/10012467972

Financial Development and Growth in the Short and Long Run

Fisman, Raymond - 2004

We analyze the relationship between financial development and inter-industry resource allocation in the short- and long …

Persistent link: https://www.econbiz.de/10012468457

A Theory of Factor Allocation and Plant Size

Holmes, Thomas J. - 2003

) the effects of trade and growth on the skill premium. The theory is consistent with certain facts about factor allocation …In this paper we develop a theory of how factors interact at the plant level. The theory has implications for: (1) the … micro foundations for capital skill complementarity (2) the relationship between factor allocation and plant size and (3 …

Persistent link: https://www.econbiz.de/10012468615

Kidney Exchange

Roth, Alvin E. - 2003

Most transplanted kidneys are from cadavers, but there are also substantial numbers of transplants from live donors. Recently, there have started to be kidney exchanges involving two donor-patient pairs such that each donor cannot give a kidney to the intended recipient because of immunological...

Persistent link: https://www.econbiz.de/10012468710