Duration dependent Markov-switching VAR (DDMS-VAR) models are time series models with data generating process consisting in a mixture of two VAR processes. The switching between the two VAR processes is governed by a two state Markov chain with transition probabilities that depend on how long...

In multichannel retailing, customers often use a mix of a firm's online and physical stores for their search and buy activities. We define the customer's “channel engagement” as a latent attitude or predisposition towards the firm's online and offline channels which dynamically transitions...

This paper builds on a longitudinal school-to-work transition phone survey experiment to quantify the effects on attrition of communicating with participants. Specifically, we study the impact of sending topically relevant information on job market conditions via SMS at the start of each survey...

Two types of analyses intend to explain the determinants of labour contracts length. A first analysis emphasizes on the contracting costs and the level of uncertainty. The second analysis focuses on the incentive and selection effect of the contract length. This paper test the determinants for...

We measure U.S. publicly traded companies' exposures to skilled labor risk, i.e., the potential failure in attracting and retaining skilled labor, by the intensity of their discussions on this issue in their 10-K filings. We show that this measure effectively captures firm risk due to the...

Do short-term contracts facilitate the transition into permanent contracts? We use a rich administrative database for the Emilia-Romagna northern region in Italy from 2008 to 2012 to run a stepping-stone analysis and evaluate which contractual agreement is more likely to lead to a permanent...

We provided a simple equilibrium model where both the wage paid by firms and the sexual frequency of their workers are determined in equilibrium. The analysis is carried out within an efficiency wage model where the worker's effort is influenced, in addition to wage, by the willingness to work....

This paper studies stochastic conditional duration models with a mixture of distribution processes for financial asset's transaction data. The mixture component distributions include exponential, gamma and Weibull. The models allow for a correlation between the observed durations and the...

This paper extends a stochastic conditional duration (SCD) model for financial transaction data to allow for correlation between error processes or innovations of observed duration process and latent log duration process with the aim of improving the statistical fit of the model. Suitable...

We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquidation occurs in a disorderly manner and negatively impacts the market price of the asset. We consider the perspective...