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

Pesaran, Bahram; Pesaran, M. Hashem - 2021

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

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

Google Econometrics and Unemployment Forecasting

Askitas, Nikos - 2012

The current economic crisis requires fast information to predict economic behavior early, which is difficult at times of structural changes. This paper suggests an innovative new method of using data on internet activity for that purpose. It demonstrates strong correlations between keyword...

Persistent link: https://www.econbiz.de/10013117001

An Oaxaca Decomposition for Nonlinear Models

Bazen, Stephen - 2016

The widely used Oaxaca decomposition applies to linear models. Extending it to commonly used nonlinear models such as duration models is not straightforward. This paper shows that the original decomposition that uses a linear model can also be obtained by an application of the mean value...

Persistent link: https://www.econbiz.de/10012992744

The Effects of Work-Life Benefits on Employment Outcomes in Canada : A Multivariate Analysis

Fang, Tony - 2019

work-life benefits and various employment outcomes in the Canadian labour market. Whilst the theory of compensating wage … differentials hypothesizes an inevitable trade-off between higher wages and non-wage benefits, the efficiency wage theory suggests … otherwise. The empirical evidence broadly supports the efficiency wage theory, thus rejecting the compensating wage …

Persistent link: https://www.econbiz.de/10012870159

The Last Refuge of a Scoundrel? Patriotism and Tax Compliance

Konrad, Kai A. - 2009

We study the effects of patriotism on tax compliance. In particular, we assume that individuals feel a (random draw of) warm glow from honestly paying their taxes. A higher expected warm glow reduces the government's optimal audit probability and yields higher tax compliance. Second, individuals...

Persistent link: https://www.econbiz.de/10012763928

On the Multivariate Analysis of the Lisbon Process

Tausch, Arno - 2007

Starting from Professor Kornai's assertion about the necessity to focus on the long-term perspectives of the transformation process, we analyze in this paper the Lisbon performance of the countries of the European Union from such a long-term, structural perspective. We present in a simple form...

Persistent link: https://www.econbiz.de/10012775462

The Econometrics of Antidotal Variables

Das, Tirthatanmoy; Polachek, Solomon W. - 2022

Some interventions or population attributes negate the effects of a treatment. This paper shows that incorporating these, what we call antidotal variables (AV), into a causal treatment effects analysis can with one cross-sectional regression identify the true causal effect, in addition to...

Persistent link: https://www.econbiz.de/10014076718

Long Memory in Turkish Unemployment Rates

Gil-Alaña, Luis A. - 2017

In this paper we have examined the unemployment rate series in Turkey by using long memory models and in particular employing fractionally integrated techniques. Our results suggest that unemployment in Turkey is highly persistent, with orders of integration equal to or higher than 1 in most...

Persistent link: https://www.econbiz.de/10012946569

What is the Added Value of Preschool? Long-Term Impacts and Interactions with a Health Intervention

Rossin-Slater, Maya - 2016

We study the impact of targeted high quality preschool over the life cycle and across generations, and examine its interaction with a health intervention during infancy. Using administrative data from Denmark together with variation in the timing of program implementation between 1933 and 1960,...

Persistent link: https://www.econbiz.de/10012981512

Real Wages and the Business Cycle in Germany

Marczak, Martyna - 2010

This paper establishes stylized facts about the cyclicality of real consumer wages and real producer wages in Germany. As detrending methods we apply the deterministic trend model, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter, the Baxter-King filter and the structural time...

Persistent link: https://www.econbiz.de/10013137519