Showing 31 - 40 of 52
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...
Persistent link: https://www.econbiz.de/10003770817
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10003947458
This paper presents a life cycle model for the demand for health, and derives empirical specifications that distinguish between permanent and transitory wage responses. Using panel data, we estimate dynamic health and health input demand equations. We find evidence of negative transitory wage...
Persistent link: https://www.econbiz.de/10011537676
This paper investigates the use of price intensities to estimate volatilities based on high-frequency data. We interpret the conditional probability for the occurrence of a price event within a certain time horizon as a risk measure which allows us to obtain an estimator of the conditional...
Persistent link: https://www.econbiz.de/10011543683
When making decisions, agents tend to make use of decisions others have made in similar situations. Ignoring this behavior in empirical models can be interpreted as a problem of omitted variables and may seriously bias parameter estimates and harm inference. We suggest a possibility of...
Persistent link: https://www.econbiz.de/10011544393
The recent availability of large data sets covering single transactions on financial markets has created a new branch of econometrics which has opened up a new door of looking at the microstructure of financial markets and its dynamics. The specific nature of transaction data such as the...
Persistent link: https://www.econbiz.de/10011544938
This paper investigates the time between transactions on financial markets. It is assumed that the interval between transactions is a random variable and the relationship between the probability to observe a transaction at each instant of time and the type of the previous trade is investigated....
Persistent link: https://www.econbiz.de/10011545007
In simple static models, migration increases with the wage differential between host and home country. In a dynamic framework, and if migrations are temporary, the size of the migrant population in the host country depends also on the migration duration. This paper analyses optimal migration...
Persistent link: https://www.econbiz.de/10011400753
If migrants return to their origin countries, two questions arise which are of immediate economic interest for both immigration and emigration country: What determines their optimal migration duration, and what are the activities migrants choose after a return. Little research has been devoted...
Persistent link: https://www.econbiz.de/10011400790
In this paper, I study temporary migrations, and its consequences for immigrants' behaviour. I distinguish between temporary migrations where the return time is exogenous, and temporary migrations where the migrant chooses when to return. I then illustrate the consequences both types of...
Persistent link: https://www.econbiz.de/10011336857