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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 …This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …

Persistent link: https://www.econbiz.de/10013316934

Testing the Correlated Random Coefficient Model

Heckman, James J. - 2009

The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...

Persistent link: https://www.econbiz.de/10013154992

Empirical Modeling of Deprivation Contagion among Social Exclusion Dimensions (Using MCMC Methods)

Poggi, Ambra - 2007

Economic theory and empirical evidence clearly show that social exclusion dimensions are inter-related. Notwithstanding …) are more likely to experience contagion than women who do not search (inactive) …

Persistent link: https://www.econbiz.de/10012777463

Infections, Accidents and Nursing Overtime in a Neonatal Intensive Care Unit : A Bayesian Semiparametric Panel Data Logit Model

Beltempo, Marc - 2020

The paper investigates the effects of nursing overtime on nosocomial infections and medical accidents in a neonatal intensive care unit (NICU). The literature lacks clear evidence on this issue and we conjecture that this may be due to empirical and methodological factors. We thus focus on a...

Persistent link: https://www.econbiz.de/10012838501

Bayesian Panel Quantile Regression for Binary Outcomes with Correlated Random Effects : An Application on Crime Recidivism in Canada

Bresson, Georges - 2020

This article develops a Bayesian approach for estimating panel quantile regression with binary outcomes in the presence of correlated random effects. We construct a working likelihood using an asymmetric Laplace (AL) error distribution and combine it with suitable prior distributions to obtain...

Persistent link: https://www.econbiz.de/10012842061

Inequality Indices as Tests of Fairness

Kanbur, Ravi - 2017

Standard income inequality indices can be interpreted as a measure of welfare loss entailed in departures from equality of outcomes, for egalitarian social welfare functions defined on the distribution of outcomes. But such a welfare interpretation has been criticized for a long time on the...

Persistent link: https://www.econbiz.de/10012957494

Cyclical Skill-Biased Technological Change

Balleer, Almut - 2009

Over the past two decades, technological progress has been biased towards making skilled labor more productive. What does skill-biased technological change imply for business cycles? To answer this question, we construct a quarterly series for the skill premium from the CPS and use it to...

Persistent link: https://www.econbiz.de/10013158513

Aggregation in Large Dynamic Panels

Pesaran, M. Hashem - 2011

Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …

Persistent link: https://www.econbiz.de/10013129942

Infinite Dimensional VARs and Factor Models

Chudik, Alexander; Pesaran, M. Hashem - 2021

that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …

Persistent link: https://www.econbiz.de/10013316638

Employment, Exchange Rates and Labour Market Rigidity

Alexandre, Fernando - 2010

There is increasing evidence that the interaction between shocks and labour market institutions is crucial to understanding the dynamics of employment. In this paper, we show that the inclusion of labour adjustment costs in a trade model affects the impact of exchange rate movements on...

Persistent link: https://www.econbiz.de/10013144390