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Modelling Vulnerability in the UK
Bandyopadhyay, Sanghamitra - 2008
In this paper we examine the concept of quot;vulnerabilityquot; (Townsend 1994) within thecontext of income mobility of the poor. We test for the dynamics of vulnerablehouseholds in the UK using Waves 1 - 12 of the British Household Panel Survey andfind that, of three different types of risks...
Persistent link: https://www.econbiz.de/10012772158
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Enhanced Valuation of European Options Under Jump Processes and Innovative Characterization of Implied Volatility Smile
Dubrana, Ludovic - 2011
An enhanced option pricing framework that makes use of both continuous and discontinuous time paths based on a geometric Brownian motion and Poisson-driven jump processes respectively is performed in order to better fit with real-observed stock price paths while maintaining the analytical...
Persistent link: https://www.econbiz.de/10013118115
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Why we don't see poverty convergence : the role of macroeconomic volatility
Crespo Cuaresma, Jesús; Klasen, Stephan; Wacker, Konstantin - 2013
sign and is robust to various estimation techniques and model specifications. Only if a country's volatility exceeds a …
Persistent link: https://www.econbiz.de/10010360158
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Why We Don't See Poverty Convergence : The Role of Macroeconomic Volatility
Crespo Cuaresma, Jesus - 2014
sign and is robust to various estimation techniques and model specifications. Only if a country's volatility exceeds a …
Persistent link: https://www.econbiz.de/10013062198
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Development, Growth and Volatility
Moro, Alessio - 2010
Does GDP composition affect GDP growth and volatility? Typically, economies at advanced stages of development grow slower, are less volatile and have a larger share of services in GDP with respect to economies at middle stages. I propose a theory of development consistent with these three facts....
Persistent link: https://www.econbiz.de/10013141336
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A Bayesian analysis of unobserved component models using Ox
Bos, Charles S. - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …
Persistent link: https://www.econbiz.de/10011386121
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Relating stochastic volatility estimation methods
Bos, Charles S. - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …
Persistent link: https://www.econbiz.de/10011386124
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Who is on the rise in Austria : wage mobility and mobility risk
Raferzeder, Thomas; Winter-Ebmer, Rudolf - 2004
In this paper we investigate earnings mobility in Austria from the angle of individual persons: earnings mobility over time has two aspects: positional changes and the volatility of earnings over time. Whereas the further is a positive outcome, more volatility as such can be seen as negative. We...
Persistent link: https://www.econbiz.de/10009748291
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Who is on the Rise in Austria : Wage Mobility and Mobility Risk
Raferzeder, Thomas; Winter-Ebmer, Rudolf - 2021
In this paper we investigate earnings mobility in Austria from the angle of individual persons: earnings mobility over time has two aspects: positional changes and the volatility of earnings over time. Whereas the further is a positive outcome, more volatility as such can be seen as negative. We...
Persistent link: https://www.econbiz.de/10013319016
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Poverty at Higher Frequency
Merfeld, Joshua D.; Morduch, Jonathan - 2023
Poverty is typically measured as insufficient yearly income or consumption. In practice, however, poverty is marked by seasonality, economic instability, and illiquidity across months. To capture within-year variability, we extend traditional poverty measures to include a temporal dimension....
Persistent link: https://www.econbiz.de/10014351157