Similar Search Results

Earnings returns to the British education expansion

Devereux, Paul J.; Fan, Wen - 2011

1970 and 1975. Using the Quarterly Labour Force Survey, we find that the expansion caused men to increase education by … about a year on average and gain about 8% higher wages; women obtained a slightly greater increase in education and a … obtain instrumental variables estimates of returns to schooling of about 6% for both men and women. -- return to education …

Persistent link: https://www.econbiz.de/10009731763

The relationship between stock return volatility and trading volume : the case of the Philippines

Asai, Manabu; Unite, Angelo A. - In: Applied financial economics 18 (2008) 16/18, pp. 1333-1341

Persistent link: https://www.econbiz.de/10003779488

General asymmetric stochastic volatility models using range data : estimation and empirical evidence from emerging equity markets

Asai, Manabu; Unite, Angelo A. - In: Applied financial economics 20 (2010) 13/15, pp. 1041-1049

Persistent link: https://www.econbiz.de/10009010308

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 4, pp. 552-563

Persistent link: https://www.econbiz.de/10009355592

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Persistent link: https://www.econbiz.de/10011379469

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

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

We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...

Persistent link: https://www.econbiz.de/10011380135

Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - In: Journal of empirical finance 29 (2014), pp. 187-206

Persistent link: https://www.econbiz.de/10011300485

Stock index volatility forecasting with high frequency data

Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002

The increasing availability of financial market data at intraday frequencies has not only led to the development of improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source for longer horizon volatility forecasts. In this paper...

Persistent link: https://www.econbiz.de/10011326944

Forecasting value-at-risk using block structure multivariate stochastic volatility models

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009767006

Regime switches in the volatility and correlation of financial institutions

Boudt, Kris; Daníelsson, Jón; Koopman, Siem Jan; … - 2012

Persistent link: https://www.econbiz.de/10009665042