In this article we deal with the identification problem within the Dynamic Linear Models family and show that using Bayesian estimation procedures we can deal better with these problems in comparison with the traditional Maximum Likelihood estimation approach. Using a Bayesian approach supported...

This article builds on the mean-variance criterion and the connection with expected utility maximization to define optimal portfolios. In addition, it extends the results by considering the use of step utility functions, which are non-continuous and able to capture possible preferences...

Stochastic volatility models are very flexible models able to characterize financial volatility evolution. This article explores computational capabilities based on Graphical Processing Units to simulate many Monte Carlo Markov chains in estimating stochastic volatility model parameters through...

Stochastic volatility models are very flexible models able to characterize financial volatility evolution. This article explores computational capabilities based on Graphical Processing Units to simulate many Monte Carlo Markov chains in estimating stochastic volatility model parameters through...

Using OLS and quantile regression methods and rich cross-section data sets for western and eastern Germany, this paper demonstrates that the impact of works council presence on labor productivity varies between manufacturing and services, between plants that are or are not covered by collective...

Evidence of instability of the wealth effect in the USA is presented through the estimation of a Markov switching model of the long-run aggregate consumption function. The dating of the regimes appears to bear relation to movements in asset prices. A model-based explanation of the findings is...

This paper uses data from a nationally representative panel of establishments to estimate the effects of German works councils on firm performance, 1997-2000. We analyze the impact of this institution on sales and sales growth using OLS and fixed effect estimates of a translog production...

Volatility is a fundamental parameter for option valuation. In particular, real options models require project volatility, which is very hard to estimate accurately because there is usually no historical data for the underlying asset. Several authors have used a method based on Monte Carlo...

This paper discusses the role played by internal restructuring vis-à-vis external restructuring in industry productivity growth, arguing that the contribution of these two components is expected to be sensitive to the economic cycle. The study describes gross flows (job and output) over a...