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Selection on Observed and Unobserved Variables : Assessing the Effectiveness of Catholic Schools
Altonji, Joseph G. - 2000
We develop estimation methods that use the amount of selection on the observables in a model as a guide to the amount of selection on the unobservables. We show that if the observed variables are a random subset of a large number of factors that influence the endogenous variable and the outcome...
Persistent link: https://www.econbiz.de/10012470912
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International Asset Allocation with Time-Varying Correlations
Ang, Andrew - 1999
It is widely believed that correlations between international equity markets tend to increase in highly volatile bear markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a...
Persistent link: https://www.econbiz.de/10012471745
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On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model
Chan, Louis K.C. - 1999
We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...
Persistent link: https://www.econbiz.de/10012471761
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The Forecasting Ability of Correlations Implied in Foreign Exchange Options
Campa, Jose M. - 1997
This paper evaluates the forecasting accuracy of correlation derived from implied volatilities in dollar-mark, dollar …-yen, and mark-yen options from January 1989 to May 1995. As a forecast of realized correlation between the dollar-mark and … dollar-yen, implied correlation is compared against three alternative forecasts based on time series data: historical …
Persistent link: https://www.econbiz.de/10012472847
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Comovement in Cities
Shea, John - 1995
Recent research has shown that industries that locate together in space also move together over the business cycle, and that this correspondence between spatial and temporal comovement is important to aggregate volatility. This paper asks whether this correspondence is due to local common shocks...
Persistent link: https://www.econbiz.de/10012473566
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The Covariation of Risk Premiums and Expected Future Spot Exchange Rates
Hodrick, Robert J. - 1985
Fama(1984) analyzed the variability and the covariation of risk premiums and expected rates of depreciation. We employ three statistical techniques that do not suffer from a potential bias in Fama's analysis, but we nevertheless confirm his findings. In contrast to his interpretation the results...
Persistent link: https://www.econbiz.de/10012477330
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Estimating the Covariates of Historical Heights
Trussell, James - 1984
Data on human height can provide an index that may measure more accurately changes in the standard of living than the more conventional real wage index. Height data, like those on real wages, are relatively abundant and extend back to the seventeenth century. In a previous paper, we developed...
Persistent link: https://www.econbiz.de/10012477633
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The Covariance Structure of Earnings and the On the Job Training Hypothesis
Hause, John C. - 1973
The fine structure of earnings is defined by a theoretically meaningful decomposition of the covariance matrix of earnings (or log earnings) time series. A three-element variance components model is proposed for analyzing earnings of young workers. These components are interpreted as the effects...
Persistent link: https://www.econbiz.de/10012479100
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The Correlation Between Health and Schooling
Grossman, Michael - 1973
discuss alternative explanations of the correlation between health and schooling. The second is to test these explanations …
Persistent link: https://www.econbiz.de/10012479103
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Spatial Correlation, Trade, and Inequality : Evidence from the Global Climate
Dingel, Jonathan I. - 2019
This paper shows that greater global spatial correlation of productivities can increase cross-country welfare … dispersion by increasing the correlation between a country's productivity and its gains from trade. We causally validate this …
Persistent link: https://www.econbiz.de/10012479403