This paper deals with the intra-day behavior of asset prices shortly before and after large price changes.

This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets.

In this paper we examine the relation between geographic location and innovative behavior.Knowledge spillins, as opposed to knowledge spillovers, are modeled as an externality which existsbetween geographically close economic agents and enters the representative inventor productionfunction...

The primary focus of this paper is the impact of knowledge creation and innovative activity onnon-farm employment growth. Non-farm employment growth is modeled in a stylized modelwhere new knowledge and local economic externalities are key factors driving technologygrowth. For our empirical...

Health diagnosis indicators used as explanatory variables in econometric models often suffer from substantial measurement error. This measurement error can lead to seriously biased inferences about the effects of health conditions on the outcome measure of interest, and the bias generally spills...

In this paper, we investigate the asymmetry in the tail dependence between USequity portfolios and the aggregate US market. Given the limited number of ob-servations in the tails of a joint distribution, standard non-parametric measures oftail dependence often have poor nite-sample properties....

Writing in Applied Economics Letters, Sumner (2004) advocates use of long lag lengths when conducting cointegration tests. Replication of Sumner’s consumption model suggests long lag lengths are a mis-specification: The true underlying model is periodic. We test for periodically distributed...

In the past two decades, controversial evidence has been produced supporting the case for localprotectionism in China. This paper overviews the most important contributions and presents a newapproach which applies spatial econometrics on prefectural-level data. The main advantage of thismethod...

Reproducibility of economic research has attracted considerable attention in recentyears. So far, the discussion has focused on reproducibility of empirical analyses. Thispaper addresses a further aspect of reproducibility, the reproducibility of computationalexperiments. We examine the current...

The computational properties of an econometric method are fundamentaldeterminants of its importance and practical usefulness, in conjunction withthe method’s statistical properties. Computational methods in econometricsare advanced through successfully combining ideas and methods in...