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Multivariate high-frequency-based volatility (HEAVY) models (replication data)
This paper introduces a new class of multivariate volatility models that utilizes high-frequency data. We discuss the models' dynamics and highlight their differences from... -
Realized GARCH: a joint model for returns and realized measures of volatility...
We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the... -
A comprehensive look at financial volatility prediction by economic variables...
We investigate whether return volatility is predictable by macroeconomic and financial variables to shed light on the economic drivers of financial volatility. Our approach is... -
‘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... -
A simple, flexible estimator for count and other ordered discrete data (repli...
This paper examines a flexible way to model empirically discrete data outcomes using hazard rate decompositions. It presents a general data-generating mechanism based on... -
The impact of data revisions on the robustness of growth determinants-a note ...
Ciccone and Jaroci-ski (American Economic Journal: Macroeconomics 2010; 2: 222-246) show that inference in Bayesian model averaging (BMA) can be highly sensitive to small data... -
Estimation of sample selection models with spatial dependence (replication data)
We consider the estimation of a sample selection model that exhibits spatial autoregressive errors (SAE). Our methodology is motivated by a two-step strategy where in the first... -
Stochastic monotonicity in intergenerational mobility tables (replication data)
The aim of this paper is to test for stochastic monotonicity in intergenerational socio-economic mobility tables. In other words, we question whether having a parent from a high... -
Jumps, cojumps and macro announcements (replication data)
We use recently proposed tests to extract jumps and cojumps from three types of assets: stock index futures, bond futures, and exchange rates. We then characterize the dynamics... -
Stock market expectations of Dutch households (replication data)
Despite its importance for the analysis of life-cycle behavior and, in particular, retirement planning, stock ownership by private households is poorly understood. Among other... -
Measuring and interpreting expectations of equity returns (replication data)
We analyze probabilistic expectations of equity returns elicited in the Survey of Economic Expectations in 1999-2001 and in the Michigan Survey of Consumers in 2002-2004. Our... -
Eliciting probabilistic expectations with visual aids in developing countries...
Eliciting subjective probability distributions in developing countries is often based on visual aids such as beans to represent probabilities and intervals on a sheet of paper... -
Measuring consumer uncertainty about future inflation (replication data)
We introduce a survey-based measure of uncertainty about future inflation, asking consumers for density forecasts across inflation outcomes. Consumers are willing and able to... -
Hierarchical Markov normal mixture models with applications to financial asse...
Motivated by the common problem of constructing predictive distributions for daily asset returns over horizons of one to several trading days, this article introduces a new... -
An empirical model of mainframe computer investment (replication data)
This paper introduces a dynamic model of investment decisions in mainframe computer systems. I estimate and test the model using detailed micro data from a company in the... -
Mixed logit models: accuracy and software choice (replication data)
This dataset has no description
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Non-Gaussian dynamic Bayesian modelling for panel data (replication data)
A first order autoregressive non-Gaussian model for analysing panel data is proposed. The main feature is that the model is able to accommodate fat tails and also skewness, thus... -
Long-run relations in European electricity prices (replication data)
This paper analyses the interdependencies existing in wholesale electricity prices in six major European countries. The results of a robust multivariate long-run dynamic... -
Forecast evaluation of small nested model sets (replication data)
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the... -
Continuous-time models, realized volatilities, and testable distributional im...
We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models...
