Search Results - subject:"Time Aggregation"

Housing Price Dispersion: an empirical investigation

Leung, Charles Ka Yui; Leong, Youngman Chun Fai; Wong, … - Chinese University of Hong Kong, Department of Economics - 2005

The efficiency of a market is challenged when price dispersion occurs. Previous studies focused on non-durable consumption goods. This study extends the analysis to the case of residential property, whose transactions are dominated by a second-hand market with many potential buyers and sellers....

Persistent link: https://www.econbiz.de/10005027431

Housing Price Dispersion: An Empirical Investigation

Leung, Charles Ka-Yui; Leong, Youngman Chun Fai; Wong, … - Chinese University of Hong Kong, Department of Economics - 2005

Persistent link: https://www.econbiz.de/10005027445

The Extended Generalized Gamma Model and its Special Cases: Applications to Modeling Marriage Durations

Ghilagaber, Gebrenegus - In: Quality & Quantity: International Journal of Methodology 39 (2005) 1, pp. 71-85

Persistent link: https://www.econbiz.de/10009396367

Does the Length of the Period Really Matter for the Identification and the Modelling of Monetary Policy Shocks?

Gallès, Clémentine; Portier, Franck - C.E.P.R. Discussion Papers - 2004

In this Paper, we ask whether our empirical and theoretical knowledge about the effect of monetary policy shocks is robust to the choice of the period length. We think that such a question is particularly relevant in the monetary literature, as frictions are often introduced under the form of a...

Persistent link: https://www.econbiz.de/10005123871

Strategic Asset Allocation in a Continuous Time VAR Model

Campbell, John Y; Chacko, George; Rodriguez, Jorge; … - C.E.P.R. Discussion Papers - 2003

This Paper derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (1999), in which the expected excess return on a risky asset follows...

Persistent link: https://www.econbiz.de/10005662354

Time-Scale Transformations of Discrete-Time Processes

Jorda, Oscar; Marcellino, Massimiliano - Economics Department, University of California-Davis - 2003

This paper investigates the effects of temporal aggregation when the aggregation frequency is variable and possibly stochastic. The results that we report include, as a particular case, the well-known results on fixed-interval aggregation, such as when monthly data is aggregated into quarters. A...

Persistent link: https://www.econbiz.de/10008620351

STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA.

Jorda, Oscar; Marcellino, Massimiliano - Economics Department, University of California-Davis - 2003

research on time aggregation as a particular case and extends the analysis to irregular intervals of aggregation. The Data …

Persistent link: https://www.econbiz.de/10008620448

Optimal Discretization of Continuous-Time Control Problems

Nedim M. Alemdar, Fehad Husseinov, Suheyla Ozyildirim - Society for Computational Economics - SCE - 2001

Nonlinear infinite horizon continuous time optimization problems are widely used in economics. However numerical solutions necessarily require reformulating the problem into a discrete finite approximation. The method proposed by Mercenier and Michel (1994) minimizes approximation error at...

Persistent link: https://www.econbiz.de/10005537765

Looking Into The Black Box: A Survey Of The Matching Function

Petrongolo, Barbara; Pissarides, Christopher - C.E.P.R. Discussion Papers - 2000

We survey the microfoundations, empirical evidence and estimation issues underlying the aggregate matching function. Several microeconomic matching mechanisms have been suggested in the literature with some successes but none is generally accepted as superior to all others. Instead, an aggregate...

Persistent link: https://www.econbiz.de/10005114438

A Monte Carlo study into time-aggregation in continuous and discrete- time hazard models

Hofstede, Frenkel ter - 1996

The purpose of this study is to investigate the effect of time- aggregation in discrete and continuous-time hazard … the time-aggregation window is small. Both estimates of continuous-time models and of discrete-time models suffer from … time-aggregation, but the estimates of the discrete-time model are more sensitive to aggregation. …

Persistent link: https://www.econbiz.de/10005522985