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The variability and volatility of sleep: an archetypal approach

Hamermesh, Daniel S.; Pfann, Gerard A. - 2022

individuals' sleep time exhibits both variability and volatility characterized by stationary autoregressive conditional … young children at home. Volatility is greater among parents with young children, slightly greater among men than women, but … independent of other demographics. A theory of economic incentives to minimize the dispersion of sleep predicts that higher …

Persistent link: https://www.econbiz.de/10012805079

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram (contributor); … - 2007

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by … than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …

Persistent link: https://www.econbiz.de/10003586562

Predictability of asset returns and the efficient market hypothesis

Pesaran, M. Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10003985756

Skewness expectations and portfolio choice

Drerup, Tilman H.; Wibral, Matthias; Zimpelmann, Christian - 2022

Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We provide a direct test of this prediction in a representative sample of the Dutch population. Using individual-level data on return expectations for a broad...

Persistent link: https://www.econbiz.de/10012805556

Trading while sleepy? : circadian mismatch and excess volatility in a global experimental asset market

Dickinson, David L.; Chaudhuri, Ananish; … - 2017

Traders in global markets operate at different local times-of-day. Suboptimal times-of-day may produce sleepiness due to daily variations in sleep/wake patterns and possibly also increased accumulation of hours awake. Global asset markets imply significantly increased heterogeneity in circadian...

Persistent link: https://www.econbiz.de/10011731909

From riches to rags, and back? : institutional change, financial development and economic growth in Argentina since the 1890s

Campos, Nauro; Karanasos, Menelaos; Tan, Bin - 2014

individual effects on economic growth and volatility using the power-ARCH framework with annual data since the 1890s. The results …

Persistent link: https://www.econbiz.de/10010440609

A comment on variance decomposition and nesting effects in two- and three-level designs

Konstantopoulos, Spyros (contributor) - 2007

Multilevel models are widely used in education and social science research. However, the effects of omitting levels of the hierarchy on the variance decomposition and the clustering effects have not been well documented. This paper discusses how omitting one level in three-level models affects...

Persistent link: https://www.econbiz.de/10003586556

Returns to education and wage equations

Pereira, Pedro Telhado; Martins, Pedro S. - 2001

We show why considering a number of education-dependent covariates in the wage equation decreases coefficient of education in the wage equation. We use a meta-analysis of results for Portugal to show, empirically, that this is the case. The coefficient decreases when we use covariates that can...

Persistent link: https://www.econbiz.de/10011401392

Volatility spillover between oil prices and main exchange rates : evidence from a DCC-GARCH-connectedness approach

Ben Salem, Leila; Zayati, Montassar; Nouira, Ridha; … - 2024

contagion spillover volatility by focusing on a sample of major oil-exporting and oil-importing countries using daily data from …; during COVID-19; and during the Russian-Ukrainian war. Our results confirm the persistence of volatility for the series … volatility transmission between oil prices and exchange-rate markets. However, the COVID-19 pandemic and the Russian …

Persistent link: https://www.econbiz.de/10014494631

Higher-order beliefs and risky asset holdings

Gorodnichenko, Yuriy; Yin, Xiao - 2024

We combine a customized survey and randomized controlled trial (RCT) to study the effect of higher-order beliefs on U.S. retail investors' portfolio allocations. We find that investors' higher-order beliefs about stock market returns are correlated with but distinct from their first-order...

Persistent link: https://www.econbiz.de/10014580789