In this paper we show that findings of an apparently instable popularity function of U.S. presidents, as reported in the previous literature, are likely the consequence of the common use of linear estimation techniques. Employing Penalized Spline Smoothing in the context of Additive Mixed Models...

We estimate time series of option implied Probabilities of Default (PoDs) for 19 major US financial institutions from 2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected for maturity dependence. The ob- tained time series are...

We review estimation methods of the tail dependence coefficient (TDC), simulating their finite-sample performance. With our chosen semi-parametric and non-parametric estimators, we estimate TDCs of major U.S. stocks. We have three aims. The first is to establish the “stylized facts” about...

Climate change is increasingly affecting the macroeconomic performance of countries and regions. However, the effects on income inequality are less understood. We estimate the dynamic impact of thunderstorms on income and wages and reveal a robust asymmetric effect. We leverage a comprehensive...

In this paper we show that findings of an apparently instable popularity function of U.S. presidents, as reported in the previous literature, are likely the consequence of the common use of linear estimation techniques. Employing Penalized Spline Smoothing in the context of Additive Mixed Models...

We estimate time series of option implied Probabilities of Default (PoDs) for 19 major US financial institutions from 2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected for maturity dependence. The obtained time series are...

We estimate time series of option implied Probabilities of Default (PoDs) for 19 major US financial institutions from 2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected for maturity dependence. The obtained time series are...

The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the volatility signature plot which minimizes the micro-structure...

We explore the historical relationship between financial conditions and real economic growth for quarterly U.S. data from 1875 to 2017 with a flexible empirical copula modelling methodology. We compare specifications with both linear and non-linear dependence, and with both Gaussian and...

Classical business cycles, following Burns and Mitchell (1946), can be defined as the sequential pattern of expansions and contractions in aggregate economic activity. Recently, Harding and Pagan (2002, 2006) have provided an econometric toolkit for the analysis of these cycles, and this has...