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Parametric pricing of higher order moments in S&P500 options (replication...
A general parametric framework based on the generalized Student t-distribution is developed for pricing S&P500 options. Higher order moments in stock returns as well as... -
Replication of the results in learning about heterogeneity in returns to scho...
A recent article (Koop and Tobias, 2004) proposes a direct way to characterize the extent of heterogeneity in returns to education. They investigate the adequacy of several... -
How well do Markov switching models describe actual business cycles? The case...
The objective of this paper is to evaluate the effectiveness of using a Markov switching model to measure the synchronization of business cycles. We use a Bayesian, Gibbs... -
Comparing shocks and frictions in US and euro area business cycles: a Bayesia...
This paper estimates a DSGE model with many types of shocks and frictions for both the US and the euro area economy over a common sample period (1974-2002). The structural... -
What caused the early millennium slowdown? Evidence based on vector autoregre...
This paper uses a simple VAR for the USA and Euro area to analyse the underlying shocks of the early millennium slowdown, i.e. supply, demand, monetary policy and oil price... -
Business and default cycles for credit risk (replication data)
Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether these cycles coincide.... -
Nonlinearity and the permanent effects of recessions (replication data)
This paper presents a new nonlinear time series model that captures a post-recession bounce-back in the level of aggregate output. While a number of studies have examined this... -
Comparing SVARs and SEMs: two models of the UK economy (replication data)
The structural vector autoregression (SVAR) and simultaneous equation macroeconometric model (SEM) styles of empirical macroeconomic modelling are compared and contrasted, with... -
A suggested framework for classifying the modes of cycle research (replicatio...
The paper argues that it is important to realize that the concept of a cycle has rarely been precisely articulated in empirical work and that often researchers are using very... -
Convergence in the trends and cycles of Euro-zone income (replication data)
Multivariate unobserved components (structural) time series models are fitted to annual post-war observations on real income per capita in countries in the Euro-zone. The aim is... -
The transmission of US shocks to Latin America (replication data)
I study whether and how US shocks are transmitted to eight Latin American countries. US shocks are identified using sign restrictions and treated as exogenous with respect to... -
Monitoring structural change in dynamic econometric models (replication data)
The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of... -
Simple solutions to the initial conditions problem in dynamic, nonlinear pane...
I study a simple, widely applicable approach to handling the initial conditions problem in dynamic, nonlinear unobserved effects models. Rather than attempting to obtain the... -
Evidence on purchasing power parity from univariate models: the case of smoot...
Recent research has found that trend-break unit root tests derived from univariate linear models do not support the hypothesis of long-run purchasing power parity (PPP) for US... -
Robust inference concerning recent trends in US environmental quality (replic...
Understanding trends in environmental quality is important for individuals and policymakers. Typically, trends in environmental quality are determined solely through comparisons... -
An algorithm to reduce the occupational space in gender segregation studies (...
This paper presents an algorithm based on the bootstrap to select an admissible aggregation level, that is, the minimum number of occupational categories that yield a gender... -
Duration dependence in the exit rate out of unemployment in Belgium. Is it tr...
On the basis of aggregate data for the early 1990s, we analyse the determinants of unemployment duration for laid-off male workers in Wallonia (Belgium). Our results indicate... -
Understanding the Fisher equation (replication data)
It is argued that univariate long memory estimates based on ex post data tend to underestimate the persistence of ex ante variables (and, hence, that of the ex post variables... -
Measurement of industry conduct with a latent structure (replication data)
Empirical industrial organization economists have long been concerned with measuring the degree of competition in markets and understanding its underlying determinants, but they... -
Learning about heterogeneity in returns to schooling (replication data)
Using data from the National Longitudinal Survey of Youth (NLSY) we introduce and estimate various Bayesian hierarchical models that investigate the nature of unobserved...
