This paper assesses the performance of common estimators adjusting for differences in covariates, like matching and regression, when faced with so-called common support problems. It also shows how different procedures suggested in the literature to tackle common support problems affect the...

Building on the results of Ludwig (2012), we propose a method to construct robust time-homogeneous Markov chains that capture the risk-neutral transition of state prices from current snapshots of option prices on the S&P 500 index. Using the recovery theorem of Ross (2013), we then derive the...

Previous research suggests that sports club participation of children in developed countries positively influences the children’s well-being, health as well as human and social capital. We use panel data of a cohort of 1,579 children in Ethiopia and Peru to test these relationships in less...

WA multivariate stochastic volatility (MSV) model based on a Cholesky-type decomposition of the covariance matrix to model dynamic correlation in the observation and transition error as well as in cross leverage terms is proposed. The empirically relevant asymmetric concept of cross leverage is...

A high frequency stochastic volatility (SV) model is proposed. Price duration and associated absolute price change in event time are modeled contemporaneously to fully capture volatility on the tick level, combining the SV and stochastic conditional duration (SCD) model. Estimation is with IBM...

We suggest a simple and general approach to fitting the discount curve under no-arbitrage constraints based on a penalized shape-constrained B-spline. Our approach accommodates B-splines of any order and fitting both under the L1 and the L2 loss functions. Simulations and an empirical analysis...

Firms are heterogeneous in size, productivity, ownership concentration, governance, financial structure and other dimensions. This paper introduces a stylized theoretical framework to account for such differences and to explain the heterogeneous tax sensitivity of firm-level investments across...

Previous research found that less accommodating caseworkers are more successful in placing unemployed workers into employment. This paper tries to shed more light on the causal mechanisms behind this result using semiparametric mediation analysis. Analysing very informative linked...

First the assumption of self-interest as applied in Economics is presented. Here we also discuss areas in which (many) people behave less self- but more other-regarding than traditional economic models assume. Then, greedy behaviour is considered as existing in the political and economic...

This paper investigates the average effects of (firm-provided) workplace health promotion measures in form of the analysis of sickness absenteeism and health circles/courses on labour market outcomes of the firms’ employees. Exploiting linked employer-employee panel data that consist of rich...