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Bridging the gap between the distribution of realized (ECU) volatility and AR...
This paper bridges the gap between traditional ARCH modelling and recent advances on realized volatilities. Based on a ten-year sample of five-minute returns for the ECU basket... -
New frontiers for arch models (replication data)
In the 20 years following the publication of the ARCH model, there has been a vast quantity of research uncovering the properties of competing volatility models. Wide-ranging... -
Time irreversibility and EGARCH effects in US stock index returns (replicatio...
In this paper we suggest using a modified version of the time reversibility (TR) test of Chen, Chou and Kuan (2000) as a complementary diagnostic test for time series models.... -
Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte...
Theoretical and practical interest in non-linear time series models, particularly regime switching models, have increased substantially in recent years. Given the abundant... -
Estimating quadratic variation using realized variance (replication data)
This paper looks at some recent work on estimating quadratic variation using realized variance (RV)?that is, sums of M squared returns. This econometrics has been motivated by... -
Detecting multiple breaks in financial market volatility dynamics (replicatio...
The paper evaluates the performance of several recently proposed tests for structural breaks in the conditional variance dynamics of asset returns. The tests apply to the class... -
Alcohol abuse and employment: a second look (replication data)
Based on data from the 1988 Alcohol Supplement of the National Health Interview Survey, Mullahy and Sindelar (1996) (M&S) find, for both men and women, that alcohol abuse... -
A flexible parametric selection model for non-normal data with application to...
I examine the effects of insurance status and managed care on hospitalization spells, and develop a new approach for sample selection problems in parametric duration models. MLE... -
Geographic poverty traps? A micro model of consumption growth in rural China ...
How important are neighbourhood endowments of physical and human capital in explaining diverging fortunes over time for otherwise identical households in a developing rural... -
Censored latent effects autoregression, with an application to US unemploymen...
A model is proposed to describe observed asymmetries in postwar unemployment time series data. We assume that recession periods, when unemployment increases rapidly, correspond... -
Socio-economic distance and spatial patterns in unemployment (replication data)
This paper examines the spatial patterns of unemployment in Chicago between 1980 and 1990. We study unemployment clustering with respect to different social and economic... -
Crack spread hedging: accounting for time-varying volatility spillovers in th...
Crude oil, heating oil, and unleaded gasoline futures contracts are simultaneously analysed for their effectiveness in reducing price volatility for an energy trader. A... -
A structural model of US aggregate job flows (replication data)
This paper contributes to the analysis of jobs flows dynamics through the explicit modelling of job creations and job destructions. We propose a simple matching model extended... -
Learning and communication in sender-receiver games: an econometric investiga...
This paper compares stimulus response (SR) and belief-based learning (BBL) using data from experiments with sender-receiver games. The environment, extensive form games played... -
The relation between wealth and labour market transitions: an empirical study...
We study the relationship between wealth and labour market transitions. A lifecycle model, in which individuals are faced by uncertainty about the availability of jobs, serves... -
Stochastic frontier models with random coefficients (replication data)
The paper proposes a stochastic frontier model with random coefficients to separate technical inefficiency from technological differences across firms, and free the frontier... -
Using R to teach econometrics (replication data)
R, an open-source programming environment for data analysis and graphics, has in only a decade grown to become a de-facto standard for statistical analysis against which many... -
Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte C...
We use recent statistical tests, based on a distance between the model and the Hansen-Jagannathan bound, to compute the rejection rates of true models. For asset-pricing models... -
Modelling the trend and seasonals within an AIDS model of the demand for alco...
The argument that is put forward in this paper is that failure to represent stochastic trend and stochastic seasonality in an AIDS model leads to a misspecified and possibly... -
Quantifying the uncertainty about the half-life of deviations from PPP (repli...
We propose a Bayesian framework in which the uncertainty about the half-life of deviations from purchasing power parity can be quantified. Based on the responses to a survey...
