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The dynamics of hourly electricity prices

Härdle, Wolfgang Karl; Trück, Stefan - 2010

The dynamics of hourly electricity prices in day-ahead markets is an important element of competitive power markets that were only established in the last decade. In electricity markets, the market microstructure does not allow for continuous trading, since operators require advance notice in...

Persistent link: https://www.econbiz.de/10010270725

The impact of ICT investments on the relative demand for high-medium-, and low-skilled workers: Industry versus country analysis

Schneider, Dorothee - 2010

In this paper I analyze the effects of information and communication technology (ICT) on compensation shares of high-, medium-, and low-skilled workers. Com- pared to other studies, I investigate this question using a considerably richer data set with respect to the length of time series, set of...

Persistent link: https://www.econbiz.de/10010270727

Uniform confidence bands for pricing kernels

Härdle, Wolfgang Karl; Okhrin, Yarema; Wang, Weining - 2010

with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk ….r.t. the European call option price function, which we estimate by nonparametric regression. The subjective density is …

Persistent link: https://www.econbiz.de/10010270732

Bayesian estimation and model selection in the generalised stochastic unit root model

Yang, Fuyu; Leon-Gonzalez, Roberto - 2010

We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR …

Persistent link: https://www.econbiz.de/10010270805

A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009

We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...

Persistent link: https://www.econbiz.de/10010270808

Can the New Keynesian Phillips Curve explain inflation gap persistence?

Yao, Fang - 2010

Whelan (2007) found that the generalized Calvo-sticky-price model fails to replicate a typical feature of the empirical … price reset hazard function can generate simulated data that are consistent with inflation gap persistence found in US CPI … data. I conclude that a non-constant price reset hazard plays a crucial role for generating realistic inflation dynamics. …

Persistent link: https://www.econbiz.de/10010270809

Honey, I'll be working late tonight. The effect of individual work routines on leisure time synchronization of couples

Scheffel, Juliane - 2010

German time use data for 2001/02 are used to assess the impact of workplace characteristics on the private life of couples. The major aim is to solve the endogeneity resulting from individual preferences for work and leisure to identify the pure effects of the workplace independent from other...

Persistent link: https://www.econbiz.de/10010270810

TFP growth in old and new Europe

Burda, Michael C.; Severgnini, Battista - 2009

Using Solow-Törnqvist residuals as well as two alternative measurements, we present estimates of total factor productivity (TFP) growth in a sample of 30 European economies for the period 1994-2005. In most of Western Europe, we find a deceleration of TFP growth since 2000. However, the...

Persistent link: https://www.econbiz.de/10010270811

Inflation and growth: New evidence from a dynamic panel threshold analysis

Kremer, Stephanie; Bick, Alexander; Nautz, Dieter - 2009

We introduce a dynamic panel threshold model to shed new light on the impact of inflation on long-term economic growth. The empirical analysis is based on a large panel-data set including 124 countries during the period from 1950 to 2004. For industrialized countries, our results confirm the...

Persistent link: https://www.econbiz.de/10010270812

Nonparametric estimation of risk-neutral densities

Grith, Maria; Härdle, Wolfgang Karl; Schienle, Melanie - 2010

This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches … which do not require parametric functional assumptions on the underlying asset price dynamics nor on the distributional form … conditional on the physical measure of the underlying asset. Via direct series type estimation of the pricing kernel we can derive …

Persistent link: https://www.econbiz.de/10010270813