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The Covariance Structure of East and West German Incomes and its Implications for the Persistence of Poverty and Inequality
Biewen, Martin - 2002
persistence of transitory shocks and their implications for the persistence of poverty and income inequality. The results suggest … that 52 to 69 percent of income inequality in West Germany were due to permanent differences between individuals and that … to overall income inequality increased from 20 percent in 1990 to over 70 percent in 1998 and the persistence of poverty …
Persistent link: https://www.econbiz.de/10010260800
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The Covariance Structure of East and West German Incomes and its Implications for the Persistence of Poverty and Inequality
Biewen, Martin - 2002
persistence of transitory shocks and their implications for the persistence of poverty and income inequality. The results suggest … that 52 to 69 percent of income inequality in West Germany were due to permanent differences between individuals and that … to overall income inequality increased from 20 percent in 1990 to over 70 percent in 1998 and the persistence of poverty …
Persistent link: https://www.econbiz.de/10010262791
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The covariance structure of East and West German incomes and its implications for the persistence of poverty and inequality
Biewen, Martin - 2002
persistence of transitory shocks and their implications for the persistence of poverty and income inequality. The results suggest … that 52 to 69 percent of income inequality in West Germany were due to permanent differences between individuals and that … to overall income inequality increased from 20 percent in 1990 to over 70 percent in 1998 and the persistence of poverty …
Persistent link: https://www.econbiz.de/10011436290
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The covariance structure of East and West German incomes and its implications for the persistence of poverty and inequality
Biewen, Martin - 2002
persistence of transitory shocks and their implications for the persistence of poverty and income inequality. The results suggest … that 52 to 69 percent of income inequality in West Germany were due to permanent differences between individuals and that … to overall income inequality increased from 20 percent in 1990 to over 70 percent in 1998 and the persistence of poverty …
Persistent link: https://www.econbiz.de/10011406904
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Spectral estimation of covolatility from noisy observations using local weights
Bibinger, Markus; Reiß, Markus - 2011
We propose localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes which are observed discretely with additive observation noise. The eligibility of this approach to lead to an appropriate estimation for time-varying volatilities stems from an...
Persistent link: https://www.econbiz.de/10010281562
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Asymptotics of asynchronicity
Bibinger, Markus - 2011
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration...
Persistent link: https://www.econbiz.de/10010281581
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An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Bibinger, Markus - 2011
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator...
Persistent link: https://www.econbiz.de/10010281599
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Spectral estimation of covolatility from noisy observations using local weights
Bibinger, Markus; Reiß, Markus - 2011
We propose localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes which are observed discretely with additive observation noise. The eligibility of this approach to lead to an appropriate estimation for time-varying volatilities stems from an...
Persistent link: https://www.econbiz.de/10009388782
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Estimating the quadratic covariation matrix from noisy observations : local method of moments and efficiency
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2013
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time...
Persistent link: https://www.econbiz.de/10009738265
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Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...
Persistent link: https://www.econbiz.de/10010411945