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Informal sector in developed and less developed countries : a literature survey

Gërxhani, Klarita - 1999

The main goal of this study is two-fold: (1) to provide a general overview of thecontributions to the literature on the informal sector, with a special focus on the PublicChoice approach; and (2) to compare these contributions across two institutionallydifferent types of countries: developed and...

Persistent link: https://www.econbiz.de/10011302624

Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility

Bos, Charles S. - 2008

When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on realised or bipower variation are applied. This article instead starts from a continuous time diffusion model and derives a parametric analog at high frequency for it, allowing...

Persistent link: https://www.econbiz.de/10011374428

Forecasting aggregate productivity using information from firm-level data

Bartelsman, Eric J.; Wolf, Zoltán - 2009

This paper contributes to the productivity literature by using results from firm-level productivity studies to improve forecasts of macro-level productivity growth. The paper employs current research methods on estimating firm-level productivity to build times-series components that capture the...

Persistent link: https://www.econbiz.de/10011378362

On a simple survey measure of individual risk aversion

Hartog, Joop; Ferrer-i-Carbonell, Ada; Jonker, Nicole - 2000

We ask individuals for their reservation price of a specified lotteryand deduce their Arrow-Pratt measure of risk aversion.This allows direct testing of common hypotheses on risk attitudes inthree datasets. We find that risk aversion indeed fallswith income and wealth. Entrepreneurs are less...

Persistent link: https://www.econbiz.de/10011303858

Profit shifting and productivity mismeasurement

Bartelsman, Eric J.; Beetsma, Roel - 2000

This note identifies profit shifting in response to cross-countrydifferences in corporate tax rates as a source of productivitymismeasurement. To quantify the magnitude of mismeasurement, theprofit-shifting effect is isolated from other possible effects ofcorporatetax rates changes on real...

Persistent link: https://www.econbiz.de/10011304391

A comonotonic image of independence for additive risk measures

Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004

This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...

Persistent link: https://www.econbiz.de/10011334834

Measurement error in education and growth regressions

Portela, Miguel; Alessie, Rob; Teulings, Coen N. - 2005

The perpetual inventory method used for the construction of education data per country leads to systematic measurement … error. This paper analyses the effect of this measurement error on GDP regressions. There is a systematic difference in the … the measurement error. The standard attenuation bias suggests that using these corrected data would lead to a higher …

Persistent link: https://www.econbiz.de/10011335189

Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

Persistent link: https://www.econbiz.de/10010464782

Stochastic dominance : convexity and some efficiency tests

Lizyayev, Andrey M. - 2009

This paper points out the importance of Stochastic Dominance (SD) efficient sets being convex. We reviewclassic convexity and efficient set characterization results on SD efficiency of a given portfolio relative to adiversified set of assets and generalize them in the following aspects. First,...

Persistent link: https://www.econbiz.de/10011379506

Vulnerability in a stochastic dynamic model

Elbers, Chris; Gunning, Jan Willem - 2003

Persistent link: https://www.econbiz.de/10001792791