This paper investigates stock-bond portfolios’ tail risks such as value-at-risk (VaR) and expected shortfall (ES), and the way in which these measures have been affected by the global financial crisis. The semiparametric t-copula is found to be adequate for modelling stock-bond joint...

We propose to approximate the unknown error density of a nonparametric regression model by a mixture of Gaussian densities with means being the individual error realizations and variance a constant parameter. This mixture density has the form of a kernel density estimator of error realizations....

Since conventional cross–validation bandwidth selection methods don’t work for the case where the data considered are dependent time series, alternative bandwidth selection methods are needed. In recent years, Bayesian based global bandwidth selection methods have been proposed....

Decreases in stock market returns often lead to higher increases in volatility than increases in returns of the same magnitude, and it is common to incorporate these so-called leverage effects in GARCH and stochastic volatility models. Recent research has also found it useful to account for...

Motivated by theoretical arguments that assert a positive impact of R&D on institutions, this paper aims to provide some empirical analysis on the relationship between these two variables. In particular this paper has found a significant direct effect of institutions on R&D intensity. Countries...

This study aims to identify and examine the potential economic factors that determining the ‘net errors & omissions’ (EO) in balance of payment accounts. Two structural specifications are derived from the balance of payments (BoP) constraint, and open economy macro equilibrium...

An econometric model of the U.S. dairy market is estimated for the period 1950–80. The economic costs of the dairy program for the period 1965–80 are calculated using ex ante, ex post, and long-run demand and supply functions. Results indicate that the costs of the dairy program...

Dynamic regression equations are estimated for each beef cattle breeding herd and beef cattle inventories at two levels of aggregation, the U.S. and Montana. The analysis for Montana was utilized as a guide for specification of the national equation to reduce the inference problem associated...

We show how the concepts of remembered utility and experienced utility correspond to cognitive appraisals of life satisfaction and emotion/affect respectively, as these concepts are used in psychology. Cognitive life satisfaction, or remembered utility, is relatively stable over time and can be...

This paper explains why suicidal tendency and test performance of teenagers may not be inversely related when individuals have reference-dependent preferences. Using panel survey data of South Korean secondary school students, I show that the relationship between suicidal ideation and test...