Narrow search
Showing 1 - 10 of 57,073
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
A probit model for the state of the Greek GDP growth
Degiannakis, Stavros - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 381-392
The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic and financial) variables regarding the...
Persistent link: https://www.econbiz.de/10011312197
Cover Image
Entropy Densities : With an Application to Autoregressive Conditional Skewness and Kurtosis
Jondeau, Eric - 2010
The entropy principle yields, for a given set of moments, a density that involves the smallest amount of prior information,. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a potential. Next, for the case where the first four moments...
Persistent link: https://www.econbiz.de/10013134879
Cover Image
Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Makatjane, Katleho - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-23
This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping and backtest density forecasts, which are based on a weighted threshold and...
Persistent link: https://www.econbiz.de/10012804913