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Value-at-risk for long and short trading positions (replication data)
In this paper we model Value-at-Risk (VaR) for daily asset returns using a collection of parametric univariate and multivariate models of the ARCH class based on the skewed... -
Bayesian inference for the mover-stayer model in continuous time with an appl...
This paper presents Bayesian inference procedures for the continuous time mover-stayer model applied to labour market transition data collected in discrete time. These methods... -
Structural estimates of the intergenerational education correlation (replicat...
Using a structural dynamic programming model, we investigate the relative importance of family background variables and individual specific abilities in explaining... -
Poverty in America 1970-1990: who did gain ground? An application of stochast...
Atkinson (1987) proposed stochastic dominance criteria for analysing poverty which, under certain conditions, establish orderings of states for any poverty line and any poverty... -
A practical log-linear aggregation method with examples: heterogeneous income...
A practical aggregation method for heterogeneous log-linear functions is presented. Inequality measures are employed in the construction of a simple but exact aggregate... -
The stochastic volatility in mean model: empirical evidence from internationa...
In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM... -
Testing the capital asset pricing model efficiently under elliptical symmetry...
We develop new tests of the capital asset pricing model that take account of and are valid under the assumption that the distribution generating returns is elliptically... -
Divergence in alternative Hicksian welfare measures: the case of revealed pre...
This paper investigates the divergence between the two Hicksian welfare measures of non-traded amenity improvement associated with housing. First, the Hicksian surplus measures... -
Estimating economic relationships subject to firm- and time-varying equality ...
Applied econometricians often fail to impose economic regularity constraints in the exact form economic theory prescribes. We show how the Singular Value Decomposition (SVD)... -
Rethinking an old empirical puzzle: econometric evidence on the forward disco...
Using both semiparametric and parametric estimation methods, this paper corroborates earlier findings of fractionally integrated behaviour in the forward premium. Two new... -
Measuring predictability: theory and macroeconomic applications (replication ...
We propose a measure of predictability based on the ratio of the expected loss of a short-run forecast to the expected loss of a long-run forecast. This predictability measure... -
The demand for M3 in the euro area (replication data)
In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with... -
Measuring the equilibrium effects of unemployment benefits dispersion (replic...
We analyse the impact of unemployment benefits and minimum wages using an equilibrium search model which allows for dispersion of benefits and productivity levels, job-to-job... -
Serially correlated variables in dynamic, discrete choice models (replication...
This paper discusses the problems that are encountered when dynamic, discrete choice models are specified with continuous, serially correlated state variables. A variety of... -
Loss function-based evaluation of DSGE models (replication data)
In this paper we propose a Bayesian econometric procedure for the evaluation and comparison of DSGE models. Unlike in many previous econometric approaches we explicitly take... -
A dynamic multinomial probit model for brand choice with different long-run a...
In this paper we propose a dynamic multinomial probit model in order to estimate the long-run and short- run effects of marketing mix variables on brand choice. The latent... -
A multivariate latent factor decomposition of international bond yield spread...
A factor analysis of long-term bond spreads is performed by decomposing international interest rate spreads into national and global factors. The factors are latent, and are... -
Econometric applications of maxmin expected utility (replication data)
Gilboa and Schmeidler (1989) develop a set of axioms for decision making under uncertainty. The axioms imply a utility function and a set of distributions such that the... -
Daily exchange rate behaviour and hedging of currency risk (replication data)
We construct models which enable a decision maker to analyse the implications of typical time series patterns of daily exchange rates for currency risk management. Our approach... -
Sequential testing of duration data: the case of the Pennsylvania reemploymen...
Cost considerations and the need to report the results promptly make it desirable to examine data as it accumulates and to terminate an experimental study as soon as definite...
