-
Recurrent conditional heteroskedasticity (replication data)
We propose a new class of financial volatility models, called the REcurrent Conditional Heteroskedastic (RECH) models, to improve both in-sample analysis and out-of-sample... -
Multivariate fractional integration tests allowing for conditional heterosked...
We introduce a new joint test for the order of fractional integration of a multivariate fractionally integrated vector autoregressive (FIVAR) time series based on applying the... -
Estimating the U.S. output gap with state‐level data (replication data)
This paper develops a method to estimate the U.S. output gap by exploiting the cross-sectional variation of state-level output and unemployment rate data. The model assumes that... -
Dynamic factor model with infinite‐dimensional factor space: Forecasting (rep...
The paper compares the pseudo real-time forecasting performance of three dynamic factor models: (i) the standard principal component model introduced by Stock and Watson in... -
A Semi-Parametric Analysis of Two-Sided Markets: An Application to the Local ...
This paper considers an empirical semiparametric model for two-sided markets. Contrary to existing empirical literature on two-sided markets, we specify network effects and... -
Replacing Sample Trimming with Boundary Correction in Nonparametric Estimatio...
Two-step nonparametric estimators have become standard in empirical auctions. A drawback concerns boundary effects which cause inconsistencies near the endpoints of the support... -
A MOMENT-MATCHING METHOD FOR APPROXIMATING VECTOR AUTOREGRESSIVE PROCESSES BY...
This paper proposes a moment-matching method for approximating vector autoregressions by finite-state Markov chains. The Markov chain is constructed by targeting the conditional... -
INDIVIDUAL VERSUS AGGREGATE INCOME ELASTICITIES FOR HETEROGENEOUS POPULATIONS...
This paper deals with different concepts of income elasticities of demand for a heterogeneous population and the relationship between individual and aggregate elasticities. In... -
‘DUAL’ GRAVITY: USING SPATIAL ECONOMETRICS TO CONTROL FOR MULTILATERAL RESIST...
We derive a quantity-based structural gravity equation system in which both trade flows and error terms are cross-sectionally correlated. This system can be estimated using... -
Bayes estimates of distance-to-market: transactions costs, cooperatives and m...
Rationalizing non-participation as a resource deficiency in the household, this paper identifies strategies for milk-market development in the Ethiopian highlands. The... -
Asymmetric power distribution: Theory and applications to risk measurement (r...
Theoretical literature in finance has shown that the risk of financial time series can be well quantified by their expected shortfall, also known as the tail value-at-risk. In...
