The aim of this paper is to forecast (out-of-sample) the distribution of financial returns based on realized volatility measures constructed from high-frequency returns. We adopt a semi-parametric model for the distribution by assuming that the return quantiles depend on the realized measures...

We proposed a method to estimate extreme conditional quantiles by combining quantile GARCH model of Xiao and Koenker (2009) and extreme value theory (EVT) approach. We first estimate the latent volatility process using the information of intermediate quantiles. We then apply EVT to the tail...

This paper provides new evidence on the wage gap between informal and formal salary workers in South Africa, Brazil and Mexico. We use rich datasets that allow us to define informality in a relatively comparable fashion across countries. We compute precise wage differentials by accounting for...

Analyzing a comprehensive database of limited liability manufacturing firms this paper investigates the relation between a firm's financial situation and its conditional expected growth rate. Specifically, using quantile regressions, we obtain a quantitative characterization of this relation for...

This article employs a Counterfactual Decomposition Analysis (CDA) using both a semi-parametric and a non-parametric method to examine the pay gap, over the entire wage distribution, between secure and insecure workers on the basis of perceived job insecurity. Using the 2015 INAPP Survey on...

The Routine-Biased Technological Change (RBTC) has been called as a relatively novel technology-based explanation of social changes like job and wage polarization. In this paper we investigate the wage inequality between routine and non-routine workers along the wage distribution in Italy....

In this study, we investigate public-private pay determination using French, British and Italian micro data from the 2001 ECHP. We document that the distribution of wages is very different between public and private workers. As a result, the public pay premium varies as one moves up or down in...

This paper uses mean and quantile regression analysis to investigate the gender pay gap for the wage employed in Vietnam over the period 1993 to 2002. It finds that the Doi moi reforms have been associated with a sharp reduction in gender wage disparities for the wage employed. The average...