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Misspecification Testing in a Class of Conditional Distributional Models

Rothe, Christoph - 2012

We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...

Persistent link: https://www.econbiz.de/10013110184

Investigating the Asymmetric Impact of Oil Prices on GCC Stock Markets

Ben Cheikh, Nidhaleddine; Ben Naceur, Samy; Kanaan, … - 2021

This paper investigates the presence of asymmetric relationship between oil price movements and Gulf Cooperation Council (GCC) stock markets. We propose the implementation of nonlinear vector smooth transition regression (VSTR) models which offer a greater flexibility when modelling the possible...

Persistent link: https://www.econbiz.de/10013314986

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/10014083924

From Riches to Rags, and Back? Institutional Change, Financial Development and Economic Growth in Argentina Since the 1890s

Campos, Nauro - 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/10013042993

Testing CAPM with a Large Number of Assets

Pesaran, M. Hashem - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

Persistent link: https://www.econbiz.de/10013107698

Decomposing Excess Returns in Stochastic Linear Models

Lin, Carl - 2012

We present a theorem helpful in estimating the mean and variance of a linear function with arbitrary multivariate randomness in its coefficients and variables. We derive a generalized decomposition result from two random linear functions in which the result can be applied to most models using...

Persistent link: https://www.econbiz.de/10013113072

Oil Price Shocks and Labor Market Fluctuations

Ordóñez Monfort, Javier - 2010

(iii) they bring a new amplification mechanism for the volatility and should thus be seen as complementary of labor …

Persistent link: https://www.econbiz.de/10013139698

Becker Meets Ricardo : Multisector Matching with Social and Cognitive Skills

McCann, Robert - 2012

communicate and coordinate at lower resource cost. The theory delivers full task specialization in the labor and education markets …

Persistent link: https://www.econbiz.de/10013106641

Combining Microsimulation and Optimization to Identify Optimal Flexible Tax-Transfer Rules

Colombino, Ugo - 2020

We use a behavioural microsimulation model embedded in a numerical optimization procedure in order to identify optimal (social welfare maximizing) tax-transfer rules. We consider the class of tax-transfer rules consisting of a universal basic income and a tax defined by a 4th degree polynomial....

Persistent link: https://www.econbiz.de/10012832584

SISTA : Learning Optimal Transport Costs Under Sparsity Constraints

Carlier, Guillaume; Dupuy, Arnaud; Galichon, Alfred; … - 2021

In this paper, we describe a novel iterative procedure called SISTA to learn the underlying cost in optimal transport problems. SISTA is a hybrid between two classical methods, coordinate descent ("S"-inkhorn) and proximal gradient descent ("ISTA"). It alternates between a phase of exact...

Persistent link: https://www.econbiz.de/10013225545