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Broda, Simon A.; Kan, Raymond - 2014

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

Persistent link: https://www.econbiz.de/10010328339

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on dependence structures …

Persistent link: https://www.econbiz.de/10010325845

Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression

Allen, David E.; Singh, Abhay K.; Powell, Robert J.; … - 2013

copulabased non linear quantile regression known as copula quantile regression (CQR).The discussion of the properties of the …

Persistent link: https://www.econbiz.de/10010326227

Mixed Density based Copula Likelihood

Azam, Kazim; Lucas, Andre - 2015

We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian … methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a … using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and …

Persistent link: https://www.econbiz.de/10010491389

Daily Market News Sentiment and Stock Prices

Allen, David E.; McAleer, Michael; Singh, Abhay K. - 2015

In recent years there has been a tremendous growth in the influx of news related to traded assets in international financial markets. This financial news is now available via print media but also through real-time online sources such as internet news and social media sources. The increase in the...

Persistent link: https://www.econbiz.de/10011403551

Social Experiments and Instrumental Variables with Duration Outcomes

Abbring, Jaap H.; van den Berg, Gerard J. - 2005

This paper examines the empirical analysis of treatment effects on duration outcomes from data that contain instrumental variation. We focus on social experiments in which an intention to treat is randomized and compliance may be imperfect. We distinguish between cases where the treatment starts...

Persistent link: https://www.econbiz.de/10010325158

Measuring Externalities in Program Evaluation

Janssens, Wendy - 2005

Impact evaluations of development programmes usually focus on a comparison of participants with a control group. However, if the programme generates externalities for non-participants such an approach will capture only part of the programme’s impact. Based on a unique large-scale quantitative...

Persistent link: https://www.econbiz.de/10010325173

The Effect of the Theo van Gogh Murder on House Prices in Amsterdam

Gautier, Pieter A.; Siegmann, Arjen; van Vuuren, Aico - 2007

This paper estimates the impact of the murder of film maker Theo vanGogh on November 2, 2004, on listed house prices in Amsterdam with aunique dataset. We use an hedonic-market approach to show that gen-eral attitudes towards Muslim minorities were negatively affected by themurder. Specifically,...

Persistent link: https://www.econbiz.de/10010325456

The Event-History Approach to Program Evaluation

Abbring, Jaap H. - 2006

This paper studies the event-history approach to microeconometric programevaluation. We present a mixed semi-Markov event-history model, discussits application to program evaluation, and analyze its empirical content.The results of this paper provide fundamental insights in what can be...

Persistent link: https://www.econbiz.de/10010325457

The Impact of Entrepreneurship Education on Entrepreneurship Competencies and Intentions

Oosterbeek, Hessel; van Praag, Mirjam; IJsselstein, Auke - 2008

This paper analyzes the impact of a leading entrepreneurship education program on college students’ entrepreneurship competencies and intentions using an instrumental variables approach in a difference-in-differences framework. We exploit that the program was offered to students at one...

Persistent link: https://www.econbiz.de/10010325703