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Learning effect on survey data: high leverage and estimation bias
Ahamad, Mazbahul Golam - In: Economics Bulletin 30 (2010) 1, pp. 4-4
leverage that affects estimation procedure and estimated predictors. This study analysis the impact of learning effect on …
Persistent link: https://www.econbiz.de/10010836073
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Asymmetry and Leverage in Conditional Volatility Models
McAleer, Michael - In: Econometrics 2 (2014) 3, pp. 145-150
effects on conditional volatility of positive and negative effects of equal magnitude, and purportedly in capturing leverage … confusion in the literature between asymmetry and leverage, as well as which asymmetric models are purported to be able to … capture leverage, the purpose of the paper is three-fold, namely, (1) to derive the GJR model from a random coefficient …
Persistent link: https://www.econbiz.de/10011031443
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A One Line Derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - In: Econometrics 2 (2014) 2, pp. 92-97
effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and … derivatives, and hence does not permit (quasi-) maximum likelihood estimation. It is shown in this paper for the non-leverage case …
Persistent link: https://www.econbiz.de/10010785679
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Bias in estimating the systematic risk of extreme performers: Implications for financial analysis, the leverage effect, and long-run reversals
Jones, Steven L.; Yeoman, John C. - In: Journal of Corporate Finance 18 (2012) 1, pp. 1-21
leverage effect, which has been the predominant explanation in prior literature. Bias in these contemporaneous realized betas …
Persistent link: https://www.econbiz.de/10011052899
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Biases in the reporting of labour market dynamics
Paull, Gillian - 2002
Correctly measuring individual dynamics in labour market behaviour has become increasingly important as research and policy attention has become more focused on the relationships between current employment opportunities and past experience. Surveys collecting information on labour market...
Persistent link: https://www.econbiz.de/10010292979
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Alternative tax-benefit strategies to support children in the European Union: Recent reforms in Austria, Spain and the UK
Levy, Horacio; Lietz, Christine; Sutherland, Holly - 2006
We compare three EU countries that have recently experienced substantial but very different reforms of their family support systems: Austria, Spain and the UK. The structure of these systems is different: Austria emphases universal benefits, Spain tax concessions and the UK means-tested...
Persistent link: https://www.econbiz.de/10010293713
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Umstellung der deutschen VGR auf Vorjahrespreisbasis
Tödter, Karl-Heinz - 2005
Das System der Volkswirtschaftlichen Gesamtrechnungen (VGR) in Deutschland wurde im Frühjahr 2005 von der Festpreisbasis auf das Vorjahrespreiskonzept (Kettenindexkonzept) umgestellt. Dadurch werden Substitutionseffekte besser berücksichtigt und die periodische Umbasierung der Zeitreihen...
Persistent link: https://www.econbiz.de/10010295776
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Does Benford's law hold in economic research and forecasting?
Günnel, Stefan; Tödter, Karl-Heinz - 2007
First and higher order digits in data sets of natural and socio-economic processes often follow a distribution called Benford's law. This phenomenon has been used in many business and scientific applications, especially in fraud detection for financial data. In this paper, we analyse whether...
Persistent link: https://www.econbiz.de/10010295869
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The geography and co-location of European technology-specific co-inventorship networks
Christ, Julian P. - 2010
This paper contributes with empirical findings to European co-inventorship location and geographical coincidence of co-patenting networks. Based on EPO co-patenting information for the reference period 2000-2004, we analyze the spatial con figuration of 44 technology-specific co-inventorship...
Persistent link: https://www.econbiz.de/10010299991
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Compiling a harmonized database from Germany's 1978 to 2003 sample surveys of income and expenditure
Bönke, Timm; Schröder, Carsten; Werdt, Clive - 2010
We outline a procedure for combining six cross-sections of the German Sample Survey of Income and Expenditure, and discuss potential pitfalls of such a venture. Particularly, we investigate the consequences of a major break in the survey design for inter-temporal comparisons of expenditure...
Persistent link: https://www.econbiz.de/10010300019