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The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...
Persistent link: https://www.econbiz.de/10009723920
The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and portfolio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...
Persistent link: https://www.econbiz.de/10013084434
Persistent link: https://www.econbiz.de/10012817254
The paper analyzes the wage-employment effects of replacing unemployment benefits by negative income taxes. It first surveys the major equity and efficiency effects of unemployment benefits versus negative income taxes, and summarizes the salient features of many European unemployment benefit...
Persistent link: https://www.econbiz.de/10014397451
This paper argues that an important group of labor market policies are complementary in the sense that the effect of each policy is greater when implemented in conjunction with the other policies than in isolation. This may explain why the diverse, piecemeal labor market reforms in many European...
Persistent link: https://www.econbiz.de/10014396054
The paper examines the employment and unemployment implications of permitting unemployed people to use part of their unemployment benefits to provide employment vouchers to the firms that hire them. This opportunity to transfer unemployment benefits into employment subsidies--“benefit...
Persistent link: https://www.econbiz.de/10014398707
The paper surveys unemployment policies for advanced market economies and evaluates them by examining the predictions of the underlying macroeconomic theories. The basic idea is that, for the most part, different unemployment policy prescriptions rest; on different macroeconomic theories, and...
Persistent link: https://www.econbiz.de/10014398711
Persistent link: https://www.econbiz.de/10000887462
Persistent link: https://www.econbiz.de/10000894462
Persistent link: https://www.econbiz.de/10000858787