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A life course perspective on the income-to-health relationship : macro-empirical evidence from two centuries

Nagel, Korbinian - 2016

horizon. It asks whether increases in per capita income improve population health and whether the improvements differ across … population age groups. The analysis uses an unbalanced panel data set with 20 countries and up to 211 years, and relies on an … measures of age specific population health. A significant effect of per capita income on survival rates is found for middle …

Persistent link: https://www.econbiz.de/10011516872

GDP and population growth : evidence of fractional cointegration with historical data from 1820 onwards

Gil-Alaña, Luis A.; Villanueva, Cecilia Font de; … - In: Journal of economic studies 49 (2022) 2, pp. 379-393

Persistent link: https://www.econbiz.de/10013173406

Realized volatility

Andersen, Torben G.; Benzoni, Luca - 2008

Realized volatility is a nonparametric ex-post estimate of the return variation. The most obvious realized volatility measure is the sum of finely-sampled squared return realizations over a fixed time interval. In a frictionless market, the estimate achieves consistency for the underlying...

Persistent link: https://www.econbiz.de/10010292169

Decision maps for bivariate time series with potential threshold cointegration

Kunst, Robert M. - 2002

Bivariate time series data often show strong relationships between the two components, while both individual variables can be approximated by random walks in the short run and are obviously bounded in the long run. Three model classes are considered for a time-series model selection problem:...

Persistent link: https://www.econbiz.de/10010292780

Modelling and forecasting oil prices: The role of asymmetric cycles

Crespo Cuaresma, Jesus; Jumah, Adusei; Karbuz, Sohbet - 2007

We propose a new time series model aimed at forecasting crude oil prices. The proposed specification is an unobserved components model with an asymmetric cyclical component. The asymmetric cycle is defined as a sine-cosine wave where the frequency of the cycle depends on past oil price...

Persistent link: https://www.econbiz.de/10010293428

A diffusion approximation to the Markov chains model of the financial market and the expected riskless profit under selling of call and put options

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

A discrete time model of financial markets is considered. It is assumed that the stock price evolution is described by a homogeneous Markov chain. In the focus of attention is the expected value of the guaranteed profit of the investor that arises when the jumps of the stock price are bounded....

Persistent link: https://www.econbiz.de/10010293729

A diffusion approximation for the riskless profit under selling of discrete time call options: Non-identically distributed jumps

Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005

A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...

Persistent link: https://www.econbiz.de/10010293743

Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging

Jumah, Adusei; Kunst, Robert M. - 2008

Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes vector...

Persistent link: https://www.econbiz.de/10010294000

Forecast combination based on multiple encompassing tests in a macroeconomic DSGE system

Costantini, Mauro; Gunter, Ulrich; Kunst, Robert M. - 2010

We use data generated by a macroeconomic DSGE model to study the relative benefits of forecast combinations based on forecast-encompassing tests relative to simple uniformly weighted forecast averages across rival models. Assumed rival models are four linear autoregressive specifications, one of...

Persistent link: https://www.econbiz.de/10010294019

Combination of forecast methods using encompassing tests: An algorithm-based procedure

Costantini, Mauro; Pappalardo, Carmine - 2008

This paper proposes a strategy to increase the efficiency of forecast combining methods. Given the availability of a wide range of forecasting models for the same variable of interest, our goal is to apply combining methods to a restricted set of models. To this aim, an algorithm procedure based...

Persistent link: https://www.econbiz.de/10010294027

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