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Sequential Matching Estimation of Dynamic Causal Models
Lechner, Michael - 2021
This paper proposes sequential matching and inverse selection probability weighting to estimate dynamic causal effects …. The sequential matching estimators extend simple, matching estimators based on propensity scores for static causal … estimators perform well in small and medium size samples. Based on the application of the sequential matching estimators to an …
Persistent link: https://www.econbiz.de/10013319454
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Microeconometric Evaluation of the Active Labour Market Policy in Switzerland
Lechner, Michael; Gerfin, Michael - 2000
and social security records. We apply a matching estimator adapted for the case of multiple programmes. We find …
Persistent link: https://www.econbiz.de/10010262365
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Microeconometric evaluation of the active labour market policy in Switzerland
Gerfin, Michael; Lechner, Michael - 2000
and social security records. We apply a matching estimator adapted for the case of multiple programmes. We find …
Persistent link: https://www.econbiz.de/10011333282
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Microeconometric Evaluation of the Active Labour Market Policy in Switzerland
Gerfin, Michael; Lechner, Michael - 2000
and social security records. We apply a matching estimator adapted for the case of multiple programmes. We find …
Persistent link: https://www.econbiz.de/10014153504
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Microeconometric Evaluation of the Active Labor Market Policy in Switzerland
Gerfin, Michael; Lechner, Michael - 2001
security records. We apply a matching estimator adapted for the case of multiple programs. We find substantial positive effects …
Persistent link: https://www.econbiz.de/10014149949
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Microeconometric Evaluation of the Active Labour Market Policy in Switzerland
Lechner, Michael; Gerfin, Michael - 2021
unusually informative data originating from administrative unemployment and social security records. We apply a matching …
Persistent link: https://www.econbiz.de/10013321284
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Linear and Non-Linear Granger Causality between Oil Spot and Futures Prices : A Wavelet Based Test
Alzahrani, Mohammed - 2014
This study is the first attempt to investigate both the linear and non-linear Granger causality between wavelet transformed spot and futures oil prices. Our findings consistently indicate bidirectional causality between the spot and futures oil markets at different time scales, under linear and...
Persistent link: https://www.econbiz.de/10013051470
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Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - 2020
The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the EUR/USD currency pair traded on the...
Persistent link: https://www.econbiz.de/10012219363
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The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - 2018
The endo-exo problem lies at the heart of statistical identi fication in many fields of science, and is often plagued by spurious strong-and-long memory due to improper treatment of trends, shocks and shifts in the data. A class of models that has shown to be useful in discerning exogenous and...
Persistent link: https://www.econbiz.de/10011900335
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Excess financial volatility explained by endogenous excitations revealed by EM calibrations of a generalized Hawkes point process
Wehrli, Alexander; Sornette, Didier - 2021
Puzzling deviations from the predictions of rational finance theory have been extensively documented empirically. In this paper, we offer an explanation for one of these anomalies, the “excess volatility puzzle”, i.e. the observation that prices fluctuate more than fundamentally justified....
Persistent link: https://www.econbiz.de/10012518955