assumptions regarding the structure of systematic risk and the nature of exposure or firm heterogeneity. We derive fat … further risk reduction is possible by changing the portfolio weights. In either case, neglecting parameter heterogeneity can … heterogeneity can lead to overestimation of risk, whether measured by unexpected loss or value-at-risk. …

We present an hierarchical Bayes approach to modeling parameter heterogeneity in generalized linear models. The model … have a multivariate normal distribution. However, class membership is not known a priori, so the heterogeneity in the … synthetic data with known heterogeneity and number of sub-populations. An application is presented concerning preferences for …

. The first essay develops an understanding of how, in addition to search frictions, labor heterogeneity can influence … aggregate labor-market fluctuations, and, in particular, the cyclical behavior of aggregate unemployment. Heterogeneity is …

Heterogeneity, i.e., the notion that individuals respond differently to economic stimuli, can have profound … grouping techniques that can be used to account for heterogeneity in financial behavior. Two are well established: company … participants behave in a similar manner may consider using of mixture model in the presence of heterogeneity in financial behavior. …

mechanism is based on the assumption of heterogeneity across firms. The resulting model performs better than existing frameworks …