We investigate the relationship between idiosyncratic risk and return among four water exchange traded funds-PowerShares Water Resources Portfolio, Power Shares Global Water, First Trust ISE Water Index Fund, and Guggenheim S&P Global Water Index ETF using the Markov switching model for the...

We discuss the ease with which individuals can move between employment, unemployment and inactivity over time in the EU. Transitions from unemployment and inactivity back into employment are relatively weak in Central Eastern, Mediterranean and Continental European labour markets compared to...

Through flows from 3 states, employment, unemployment and out of the labor force, we analyze the dynamics of labor markets in Chile from 1962-2007. We identify some periods of different labor market regimes and relate them with changes in flexibility. We found that reforms such as that of 1967,...

The aim of this paper is to measure the effect of the interaction between age for the population of males and females aged 18 to 74 and region-level GDP per capita on labour market transition probabilities in Italy. We compare different occupational states in a sample of males and females who...

The study investigates the stock price movement of quoted Nigerian oil and gas firms using the Markovian model. Specifically, the study estimates the change in likelihoods and steady-state distribution of the share prices of the firms to determine the average time spent by the share price to...

Vector‐valued‐60 extensions of univariate generalized binary auto‐regressive (gbAR) processes are proposed that enable the joint modeling of serial and cross‐sectional‐50 dependence of multi‐variate binary data. The resulting class of generalized binary vector auto‐regressive...

Using longitudinal social security data, this study finds evidence of weak real wage cyclicality in Spain throughout 1988 - 2011. The baseline estimate of a 0.4 % increase in wages in response to a one percentage point decline in the unemployment rate lies in the lower bound of available...

We present a semiparametric method to estimate group-level dispersion, which is particularly effective in the presence of censored data. We apply this procedure to obtain measures of occupation-specific wage dispersion using top-coded administrative wage data from the German IAB Employment...

In this paper, a level set analysis is proposed which aims to analyze the S&P 500 return with a certain magnitude. It is found that the process of large jumps/drops of return tend to have negative serial correlation, and volatility clustering phenomenon can be easily seen. Then, a nonparametric...

This paper discusses nonparametric kernel regression with the regressor being a d-dimensional ß-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate p n(T)hd, where n(T) is the number of regenerations...