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Discrete-time stochastic volatility models and MCMC-based statistical inference

Hautsch, Nikolaus; Ou, Yangguoyi - 2008

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...

Persistent link: https://www.econbiz.de/10010263750

Structural dynamic conditional correlation

Weber, Enzo - 2008

). The additional fexibility is shown to make an important contribution in the estimation of empirical real-data examples. …

Persistent link: https://www.econbiz.de/10010263754

A brand specific investigation of international cost shock threats on price and margin with a manufacturer-wholesaler-retailer model

Dannewald, Till; Hildebrandt, Lutz - 2008

find themselves in a weak position. While many businesses can hedge this kind of risk by relocating production to the US …

Persistent link: https://www.econbiz.de/10010263755

Exports and productivity growth: first evidence from a continuous treatment approach

Fryges, Helmut; Wagner, Joachim - 2007

A recent survey of 54 micro-econometric studies reveals that exporting firms are more productive than non-exporters. On the other hand, previous empirical studies show that exporting does not necessarily improve productivity. One possible reason for this result is that most previous studies are...

Persistent link: https://www.econbiz.de/10010263815

Inspecting the poverty-trap mechanism: a quantile regression approach

Krüger, Jens J. - 2007

regressions by quadratic and cubic terms is used with emphasis on curve fitting rather than parameter estimation. The results show …

Persistent link: https://www.econbiz.de/10010263852

Long-run sectoral development time series evidence for the German economy

Dietrich, Andreas; Krüger, Jens J. - 2008

development. Estimation and analysis with German data for the period 1850-2001 show that this model is quite capable to replicate …

Persistent link: https://www.econbiz.de/10010263864

Intra-sectoral structural change and aggregate productivity development: a robust stochastic nonparametric frontier function approach

Krüger, Jens J. - 2008

This paper investigates the sources of total factor productivity growth in the German manufacturing sector, 1981-1998. Decomposition formulae for aggregate productivity growth are used to identify the effects of structural change and entry-exit on aggregate productivity growth. Documented is a...

Persistent link: https://www.econbiz.de/10010263878

Local Innovation Systems and Benchmarking

Cantner, Uwe - 2008

This paper reviews approaches used for evaluating the performance of local or regional innovation systems. This evaluation is performed by a benchmarking approach in which a frontier production function can be determined, based on a knowledge production function relating innovation inputs and...

Persistent link: https://www.econbiz.de/10010263882

Measuring the functional efficiency of capital markets

Eklund, Johan E.; Desai, Sameeksha - 2008

We apply the accelerator principle to measure the functional efficiency of capital markets. We estimate the elasticity of capital with respect to output using a panel of firms across 44 countries, and compare the results with existing approaches. Furthermore, we correlate our measure with...

Persistent link: https://www.econbiz.de/10010263887

Fool the markets?: Creative accounting, fiscal transparency and sovereign risk premia

Bernoth, Kerstin; Wolff, Guntram B. - 2006

bond yields in the European Union. Our model predicts that risk premia contained in government bond spreads should increase … two signals depends on the transparency of the country. Greater transparency reduces risk premia. The empirical results … confirm the hypotheses. Creative accounting increases the spread. The increase of the risk premium is stronger if financial …

Persistent link: https://www.econbiz.de/10010263922