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A Good Sign for Multivariate Risk Taking

Eeckhoudt, Louis; Rey, Béatrice; Schlesinger, Harris - 2021

Decisions under risk are often multidimensional, where the preferences of the decision maker depend on several attributes. For example, an individual might be concerned about both her level of wealth and the condition of her health. Many times the signs of successive cross derivatives of a...

Persistent link: https://www.econbiz.de/10013317430

A Ranking Method Based on Handicaps

Demange, Gabrielle - 2021

Ranking methods are fundamental tools in many areas. Popular methods aggregate the statements of 'experts' in different … ways. As such, there are various reasonable ranking methods, each one of them more or less adapted to the environment under … applications. The method is illustrated for ranking economic journals …

Persistent link: https://www.econbiz.de/10013315631

Variable Selection and Inference for Multi-Period Forecasting Problems

Pesaran, M. Hashem - 2011

This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a...

Persistent link: https://www.econbiz.de/10012756285

A Multivariate Long-Memory Model with Structural Breaks

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2021

This paper introduces a multivariate long-memory model with structural breaks. In the proposed framework, time series exhibit possibly fractional orders of integration which are allowed to be different in each subsample. The break date is endogenously determined using a procedure which minimises...

Persistent link: https://www.econbiz.de/10013317169

Who Is the 'Journal Grand Master'? A New Ranking Based on the Elo Rating System

Lehmann, Robert - 2017

of a journal's performance. Most other rankings that are commonly applied neglect this fact. The Elo ranking approach can … period from 1999 to 2015. We show that the Elo approach produces a similar but not identical ranking compared to other …

Persistent link: https://www.econbiz.de/10012964185

Ranking Economists on the Basis of Many Indicators : An Alternative Approach Using RePEc Data

Seiler, Christian - 2012

rankings can be biased due to the employed ranking methodology. In order to select key indicators describing and assessing … overall ranking of economists based on RePEc data …

Persistent link: https://www.econbiz.de/10013112601

The Limits of Trust in Economic Transactions - Investigations of Perfect Reputation Systems

Bolton, Gary E.; Ockenfels, Axel - 2021

As the Internet economy has grown, so too has the need for trust. A degree of trust is a critical ingredient in virtually all economic relationships, Internet or otherwise. Every day we choose to trust plumbers, doctors, employers, employees, teachers, airlines, and others. The need for trust...

Persistent link: https://www.econbiz.de/10013316582

Global Warming and Extreme Events : Rethinking the Timing and Intensity of Environmental Policy

Chen, Yu-Fu - 2010

The possibility of low-probability extreme events has reignited the debate over the optimal intensity and timing of climate policy. In this paper we therefore contribute to the literature by assessing the implications of low-probability extreme events on environmental policy in a continuous-time...

Persistent link: https://www.econbiz.de/10013139799

Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights

Lütkepohl, Helmut - 2010

Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are time-varying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed, time-invariant aggregation weights. In this study a...

Persistent link: https://www.econbiz.de/10013144208

Matching and Saving in Continuous Time : Theory

Bayer, Christian - 2010

We analyse optimal saving of risk-averse households when labour income stochastically jumps between two states. The generalized Keynes-Ramsey rule includes a precautionary savings term. A phase diagram analysis illustrates consumption and wealth dynamics within and between states. There is an...

Persistent link: https://www.econbiz.de/10013144214