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Unemployment and Hysteresis : A Nonlinear Unobserved Components Approach

Di Sanzo, Silvestro; Perez-Alonso, Alicia - 2010

test for hysteresis two alternative bootstrap algorithms are proposed: the first is valid under homoskedastic errors and …A new test for hysteresis based on a nonlinear unobserved components model is proposed. Observed unemployment rates are … lagged cyclical shocks on the current natural component is the measure of hysteresis. To derive anappropriate p-value for a …

Persistent link: https://www.econbiz.de/10014189791

Change point estimation in panel data without boundary issue

Peštová, Barbora; Pešta, Michal - In: Risks : open access journal 5 (2017) 1, pp. 1-22

Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In particular, the novel estimator is able to detect a common...

Persistent link: https://www.econbiz.de/10011636497

Inference for structural impulse responses in SVAR-GARCH models

Bruder, Stefan - 2018

heteroskedastic SVAR-GARCH model and propose a bootstrap-based inference procedure on structural impulse responses. We compare the … finite-sample properties of our bootstrap method with those of two competing bootstrap methods via extensive Monte Carlo …

Persistent link: https://www.econbiz.de/10011817166

Timing Law School

McIntyre, Frank; Simkovic, Michael - 2017

We investigate whether economic conditions at labor market entry predict long-term differences in law graduate earnings. We find that unemployment levels at graduation continue to predict law earnings premiums within 4 years after graduation for earners at the high end and middle of the...

Persistent link: https://www.econbiz.de/10014137413

Value of a Law Degree by College Major

McIntyre, Frank - 2017

We estimate the increase in earnings from a law degree relative to a bachelor's degree for graduates who majored in different fields in college. Students with humanities and social sciences majors comprise approximately 47 percent of law degree holders compared to 23 percent of terminal...

Persistent link: https://www.econbiz.de/10012969856

Measuring & Managing Financial Risks with Improved Alternatives Beyond Value-at-Risk (VaR)

Malhotra, Yogesh - 2015

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...

Persistent link: https://www.econbiz.de/10013024329

Beyond ‘Bayesian vs. VaR’ Dilemma to Empirical Model Risk Management : How to Manage Risk (After Risk Management Has Failed) for Hedge Funds

Malhotra, Yogesh - 2015

In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of Bayesian inference on subjective judgment, the key limitation...

Persistent link: https://www.econbiz.de/10013031477

Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität : ein Vergleich univariater und multivariater Konzepte

Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

Persistent link: https://www.econbiz.de/10010237661

Validierung von Konzepten zur Messung des Marktrisikos : insbesondere des Value at Risk und des Expected Shortfall

Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012

Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...

Persistent link: https://www.econbiz.de/10009575075

Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms

Trenkler, Carsten (contributor) - 2006

In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic … the bootstrap test procedures are derived and their small sample properties are studied. The simulation study also … considers the standard asymptotic test versions and the Johansen cointegration test for comparison. -- Bootstrap ; Systems …

Persistent link: https://www.econbiz.de/10003324256