Similar Search Results

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

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/10013141228

Trading While Sleepy? Circadian Mismatch and Excess Volatility in a Global Experimental Asset Market

Dickinson, David L. - 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/10012947730

International Specialization and the Return to Capital

Batista, Catia - 2010

How does factor accumulation affect the pattern of international specialization and returns to capital? We provide a new integrated treatment to this question using a panel of 44 developing and developed countries over the period 1976-2000. We confirm the Heckscher-Ohlin prediction that, with...

Persistent link: https://www.econbiz.de/10013148352

Frictional Unemployment with Stochastic Bubbles

Vuillemey, Guillaume - 2016

Bubbles are recurrent events, which contribute to both macroeconomic and employment volatility. We introduce stochastic …

Persistent link: https://www.econbiz.de/10012981503

Why is Old Workers' Labor Market More Volatile? Unemployment Fluctuations Over the Life-Cycle

Hairault, Jean-Olivier - 2014

Since the last recession, it is usually argued that older workers are less affected by the economic downturn because their unemployment rate rose less than the one of prime-age workers. This view is a myth: older workers are more sensitive to the business cycle. We document volatilities of...

Persistent link: https://www.econbiz.de/10013055568

Government Deficit Shocks and Okun's Coefficient Volatility : New Insights on the Austerity Versus Growth Debate

Binh Thai Pham - 2019

This paper connects two salient economic features: (i) Fiscal shocks have asymmetric effects across business cycle phases (Gechert et al., 2019); (ii) Okun's coefficient is time varying and may be unstable. The intertwined dynamic behavior of fiscal shocks and unemployment-output trade-offs are...

Persistent link: https://www.econbiz.de/10012864881

Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution

Pesaran, Bahram; Pesaran, M. Hashem - 2021

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … 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/10013316934