We employ data from the German Socio-Economic Panel to examine the income distribution for elderly individuals since German unification. The elderly population, defined as people of age 55 and older, is decomposed by people resident in the Old and New Federal States. Further, we distinguish...

A time-changing volatility binomial tree to price European options is presented followed by an algorithm explaining how to implement the tree. Finally, the advantages of the model are listed.

We derive expressions for the first-order bias of the MLE for a Poisson regression model and show how these can be used to adjust the estimator and reduce bias without increasing MSE. The analytic results are supported by Monte Carlo simulations and three illustrative empirical applications.

This paper introduces a new way of investigating linear and nonlinear Granger causality between exports, imports and economic growth in France over the period 1961-2006 with using geostatistical models (kiriging and inverse distance weighting). Geostatistical methods are the ordinary methods for...

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating...

In this paper we use a copula-based GARCH model to estimate conditional variances and covariances of the multivariate relationship among English, German and French markets. To that, we used daily prices of FTSE100, DAX and CAC from July 2009 to July 2011, totalizing 508 observations. The...

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on...

The paper introduces the question of micro enterprises success in Argentina in the context of the 2007-2008 international financial crisis that overlaps with the lagged effects of the previous domestic downturn of 2001-2002. The work focuses on three aspects of the micro enterprises that have...

We propose an asset pricing model where preferences display generalized disappointment aversion (Routledge and Zin, 2009) and the endowment process involves long-run volatility risk. These preferences, which are embedded in the Epstein and Zin (1989) recursive utility framework, overweight...

The instantaneous nature of electricity distinguishes its spot prices from spot prices for equities and other commodities. Up to now electricity cannot be stored economically and therefore demand for electricity has an untempered effect on electricity prices. In particular, hourly electricity...