Narrow search
Showing 1 - 10 of 10,222
Cover Image
Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim; Wellner, Marc - 1999
-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first … propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the … simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an …
Persistent link: https://www.econbiz.de/10009579173
Cover Image
CEO Turnover and Volatility under Long-Term Employment Contracts
Cziraki, Peter - 2020
We study the role of the contractual time horizon of CEOs for CEO turnover and corporate policies. Using hand-collected data on 3,954 fixed-term CEO contracts, we show that remaining time under contract predicts CEO turnover. When contracts are close to expiration, turnover is more likely and is...
Persistent link: https://www.econbiz.de/10012856892
Cover Image
The effect of heterogeneuous wage contracts on macroeconomic volatility in a financially fragile economy
Kim, Jongheuk - In: East Asian economic review 21 (2017) 2, pp. 167-197
I build a small open economy (SOE) dynamic stochastic general equilibrium (DSGE) model to investigate the effect of a heterogeneous wage contract between regular and temporary workers on a macroeconomic volatility in a financially fragile economy. The imperfect financial market condition is...
Persistent link: https://www.econbiz.de/10011765066
Cover Image
The effect of heterogeneous wage contracts on macroeconomic volatility in a financially fragile economy
Kim, Jongheuk - In: East Asian economic review 21 (2017) 2, pp. 167-197
Persistent link: https://www.econbiz.de/10011701210
Cover Image
Volatility estimation on the basis of price intensities
Gerhard, Frank; Hautsch, Nikolaus - 1999
period overnight we use a categorical duration model. This model allows us to take into account that durations which occur …
Persistent link: https://www.econbiz.de/10011543683
Cover Image
Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013
We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...
Persistent link: https://www.econbiz.de/10010256970
Cover Image
Momentum with Volatility Timing
Malitskaia, Yulia - 2019
The growing adoption of factor investing simultaneously prompted the active topic of factor timing approaches for the dynamic allocation of multi-factor portfolios. The trend represents a natural development of filling the gap between passive and active management. The paper addresses this...
Persistent link: https://www.econbiz.de/10012866947
Cover Image
High-Frequency Volatility Modelling : A Markov-Switching Autoregressive Conditional Intensity Model
Li, Yifan - 2019
We develop a Markov-Switching Autoregressive Conditional Intensity (MS-ACI) model with time-varying transitional parameters, and show that it can be reliably estimated via the Stochastic Approximation Expectation-Maximization algorithm. Applying our model to high-frequency transaction data, we...
Persistent link: https://www.econbiz.de/10012903299
Cover Image
Flexibility at the Margin and Labor Market Volatility in OECD Countries
Sala, Hector - 2012
with these type of jobs, and (ii) there are restrictions in the creation and duration of fixed-term contracts. We show that …
Persistent link: https://www.econbiz.de/10012754818
Cover Image
Specific Capital and Vintage Effects on the Dynamics of Unemployment and Vacancies
Eyigungor, Burcu - 2019
In a reasonably calibrated Mortensen and Pissarides matching model, shocks to average labor productivity can account for only a small portion of the fluctuations in unemployment and vacancies (Shimer (2005a)). In this paper, the author argues that if vintage specific shocks rather than aggregate...
Persistent link: https://www.econbiz.de/10012706057