This paper explores asset pricing implications of unemployment risk from sectoral shifts. I proxy for this risk using …-term component, consistent with the hypothesis that CID is a proxy for unemployment risk from sectoral shifts …

wages. Our findings from the Norwegian administrative and survey data are as follows: (i) Nonlinear mean reversion in … earnings is driven by the dynamics of hours worked rather than wages since wage dynamics are close to linear while negative … and wages, whereas small changes are associated mainly with wage shocks (iii) Both wages and hours contribute to negative …

wages. Our findings from the Norwegian administrative and survey data are as follows: (i) Nonlinear mean reversion in … earnings is driven by the dynamics of hours worked rather than wages since wage dynamics are close to linear, while hours … changes are driven equally by hours and wages, whereas small changes are associated mainly with wage shocks. (iii) Both wages …

models, in which “unwarranted” wages changes and the return on capital are endogenously determined, do not necessarily …

for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard … performance and risk assessment. After constructing Bayesian estimators for alpha-stable distributions in the context of an ARMA …-GARCH time series model with stable innovations, we compare our risk evaluation and prediction results to the predictions of …