Search Results - subject:"temporal aggregation"

A test between unemployment theories using matching data

Coles, Melvyn; Petrongolo, Barbara - London School of Economics (LSE) - 2003

to job queues. Using U.K. data and correcting for temporal aggregation bias, estimates of the random matching function …

Persistent link: https://www.econbiz.de/10010928750

Estimation of temporally aggregated multivariate GARCH models

HAFNER, Christian; ROMBOUTS, Jeroen - Center for Operations Research and Econometrics (CORE), … - 2003

This paper investigates the performance of quasi maximum likelihood (QML) and nonlinear least squares (NLS) estimation applied to temporally aggregated GARCH models. Since these are known to be only weak GARCH, the conditional variance of the aggregated process is in general not known. Thus, one...

Persistent link: https://www.econbiz.de/10005043585

A Test Between Unemployment Theories Using Matching Data

Coles, Melvyn; Petrongolo, Barbara - Centre for Economic Performance, LSE - 2003

to job queues. Using U.K. data and correcting for temporal aggregation bias, estimates of the random matching function … frictions or due to job queues. Using U.K. data and correcting for temporal aggregation bias, estimates of the random matching …, Temporal aggregation. JEL Classification: E24, J41, J63, J64. This paper was produced as part of the Centre …

Persistent link: https://www.econbiz.de/10005016867

Consistent High-Frequency Calibration

Huang, Kevin X.D.; Aadland, David - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005345705

Holding Period Return-Risk Modeling: Ambiguity in Estimation

Hallerbach, W.G.P.M. - Erasmus Research Institute of Management (ERIM), ERIM … - 2003

In this paper we explore the theoretical and empirical problems of estimating average (excess) return and risk of US equities over various holding periods and sample periods. Our findings are relevant for performance evaluation, for estimating the historical equity risk premium, and for...

Persistent link: https://www.econbiz.de/10005288532

The costs of adjusting labor: Evidence from temporally disaggregated data

Yaman, F. - Department of Economics, City University - 2011

I estimate the costs for establishments of hires and separations using a dynamic labor demand framework and matched employer-employee data from Germany, which records the exact dates of start and end of an employment spell. I estimate adjustment costs under different assumptions of adjustment...

Persistent link: https://www.econbiz.de/10011268897

Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks

Clark, Steven; Coggin, T. - In: Empirical Economics 40 (2011) 2, pp. 373-391

Persistent link: https://www.econbiz.de/10008925356

Temporal Aggregation and Purchasing Power Parity Persistence

Ahmad, Yamin; Craighead, William D. - Economics Department, Wesleyan University - 2011

these series may therefore be subject to temporal aggregation bias. We find evidence of aggregation bias which indicates the … half-lives under temporal aggregation are further reduced once we account for the Harrod (1933)-Balassa (1964) - Samuelson …

Persistent link: https://www.econbiz.de/10008871038

Consistent High-Frequency Calibration

Aadland, David; Huang, Kevin - Department of Applied Economics, Utah State University - 2002

Economic models are meant to provide a framework to describe real-world economic activities. In principle, how well a model performs this task can be evaluated by how close the model’s simulated activities track the observed ones. A necessary .rst step in simulating a model is to choose values...

Persistent link: https://www.econbiz.de/10005426943

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Chang, Chia-Lin; McAleer, Michael - Department of Economics and Finance, College of … - 2010

Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan, comprising a high proportion of world tourist arrivals to Taiwan, are Japan and USA, which are sources of short and long haul tourism, respectively. As it is well...

Persistent link: https://www.econbiz.de/10010627491