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Measuring persistence in volatility spillovers : conference paper

Conrad, Christian; Weber, Enzo - Wettbewerbspolitik und Regulierung in einer Globalen … - 2013

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the … conditional variances determine the persistence of the transmitted volatility innovations. In particular, the influence of a … foreign volatility innovation on a conditional variance is even more persistent than an own innovation unless this effect is …

Persistent link: https://www.econbiz.de/10010341118

Real Time Econometrics

Pesaran, M. Hashem; Timmermann, Allan - 2021

This paper considers the problems facing decision-makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in construction of automated...

Persistent link: https://www.econbiz.de/10013319323

Beyond quantified ignorance : rebuilding rationality without the bias bias

Brighton, Henry - 2019

theory of ecological rationality. The main casualty of this rebuilding process is optimality. Once we view optimality as a …

Persistent link: https://www.econbiz.de/10011990913

Beyond Fictitious Play Beliefs : Incorporating Pattern Recognition and Similarity Matching

Spiliopoulos, Leonidas - 2013

Belief models capable of detecting 2- to 5-period patterns in repeated games by matching the current historical context to similar realizations of past play are presented. The models are implemented in a cognitive framework, ACT-R, and vary in how they implement similarity-based categorization...

Persistent link: https://www.econbiz.de/10014156427

Can ranking techniques elicit robust values?

Bateman, Ian; Day, Brett; Loomes, Graham; Sugden, Robert - In: Journal of risk and uncertainty : JRU 34 (2007) 1, pp. 49-66

Persistent link: https://www.econbiz.de/10003494162

First-place loving and last-place loathing : how rank in the distribution of performance affects effort provision

Gill, David; Kissová, Zdenka; Lee, Jaesun; Prowse, … - 2015

Rank-order relative-performance evaluation, in which pay, promotion and symbolic awards depend on the rank of workers in the distribution of performance, is ubiquitous. Whenever firms use rank-order relative-performance evaluation, workers receive feedback about their rank. Using a real-effort...

Persistent link: https://www.econbiz.de/10011308986