Value-at-Risk (VaR) has emerged as the standard tool for measuring and reporting financial market risk. Currently, more than eighty commercial vendors offer enterprise or trading risk management systems which report VaR-like measures. Risk managers are therefore often left with the daunting task...

We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions...

The authors investigate the determinants of the remarkable increase in intra-regional migrations since the 1980's in Spain, using a large administrative micro dataset on migrants. Conditional migration probabilities are identified by comparing the migrant's joint distribution of characteristics...

The purpose of this paper is to formulate procedures for the analysis of the time series behaviour of micro panel data subject to censoring. We assume an autoregressive model with random effects for a latent variable which is only partly observed due to a selection mechanism. Our methods are...

This chapter focuses on two of the developments in panel data econometrics since the Handbook chapter by Chamberlain (1984). The first objective of this chapter is to provide a review of linear panel data models with predetermined variables. We discuss the implications of assuming that...

This paper reviews the existing approaches to deal with panel data binary choice models with individual effects. Their relative strengths and weaknesses are discussed. Much theoretical and empirical research is needed in this area, and the paper points to several aspects that deserve further...

In this paper we study the effects of unemployment benefit duration and the business cycle on unemployment duration. We construct durations for individuals entering unemployment from a longitudinal sample of Spanish men in 1987-1994. Estimated discrete hazard models indicate that receipt of...