The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...

In this paper I examine various extensions of the Nelson and Siegel (1987) model with the purpose of fitting and forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in-sample fit of the term structure. However, I show that the...

This paper examines the socio-economic consequences of teenage motherhood for a cohort of British women born in 1970. We apply a number of different methodologies on the same dataset, including OLS, a propensity score matching estimator, and an instrumental variables estimator, using...

This paper examines the socio-economic consequences of teenage motherhood for a cohort of British women born in 1970. We employ a number of methods to control for observed and unobserved differences between women who gave birth as a teenager and those who do not. We present results from...

This paper attempts to uncover the effects of a welfare-to-work programme that acts as a wage subsidy on wage growth by exploiting an expansion to this welfare programme in the UK. The conventional wisdom is that such programmes trap recipients into low wage, low quality work – this comes from...

This paper investigates the robustness of recent findings on the effect of parental background on child health. We are particularly concerned with the extent to which their finding that income effects on child health are the result of spurious correlation rather than some causal mechanism. A...

This paper estimates the causal effect of being born to a teenage mother on children's outcomes, exploiting compulsory schooling changes as the source of exogenous variation. We impose external estimates of the direct effect of maternal education on child outcomes within a plausible exogeneity...

This paper investigates the robustness of recent findings on the effect of parental background on child health. We are particularly concerned with the extent to which their finding that income effects on child health are the result of spurious correlation rather than some causal mechanism. A...