Reducing institutional rigidities in product and labour markets is key to lowering unemployment. The impact of such labour and product market reforms, however, depends crucially on the country-specific regulatory framework. In this paper, we estimate the country-specific impact of changes in six...

Reducing institutional rigidities in product and labour markets is key to lowering unemployment. The impact of such labour and product market reforms, however, depends crucially on the country-specific regulatory framework. In this paper, we estimate the country-specific impact of changes in six...

In nonparametric function estimation, the inclusion of shape constraints can confer several advantages, including improved estimation accuracy, reduced sensitivity to smoothing parameters, and control over the qualitative appearance of the estimate. Finding shape-restricted estimates may require...

Offshore wind power is a renewable energy of growing relevance in current electric energy systems, presenting favorable wind conditions in comparison with the sites on land. However, the higher energy yield has to compensate the increment in installation and maintenance costs, thus the...

It has been shown in the literature that the task of estimating the parameters of nonlinear models may be tackled with optimization heuristics. Thus, we attempt to carry these intuitions over to the estimation procedure of smooth transition autoregressive (STAR, Teräsvirta, 1994) models by...

Model selection – choosing the relevant variables and structures – is a central task in econometrics. Given a limited number of observations, estimation and inference depend on this choice. A frequently treated model-selection problem arises in multivariate autoregressive models, where the...

Empirical distributions are often claimed to be superior to parametric distributions, yet to also increase the computational complexity and are therefore hard to apply in portfolio optimization. In this paper, we approach the portfolio optimization problem under constraints on the portfolio’s...

In this paper we investigate the performance of the threshold accepting heuristic for the index tracking problem. The index tracking problem consists in minimizing the tracking error between a portfolio and a benchmark. The objective is to replicate the performance of a given index upon the...

This paper proposes a clustering asset allocation scheme which provides better risk-adjusted portfolio performance than those obtained from traditional asset allocation approaches such as the equal weight strategy and the Markowitz minimum variance allocation. The clustering criterion used,...