Like the stock market, the human capital market consists of a wide range of assets, i.e. educations. Each <p> young individual chooses the educational asset that matches his preferred combination of risk and return in terms of <p> future income. A unique register-based data set with exact information...</p></p>

This paper examines the relationship between interest-rate volatility and the shape of the yield curve. The yield curve is parsimoniously described by its level, slope, and curvature. The level, the slope and the curvature are analyzed within a trivariate heteroskedastic model, where the...

A unique data set enables us to test the hypothesis that more economists than otherwise identical investors hold stocks due to informational advantages. We confirm that economists have a significantly higher probability of participating in the stock market than investors with any other...

To capture time-variation in the risk exposure of exchange rates, this paper suggests a factor model with stock and bond markets as the explanatory factors - but where the betas are allowed to depend on the exchange rate volatility. Empirical results on daily data from 1995 to 2008 show that a...

A large register-based panel data set containing detailed information on educational attainments as well as financial and socioeconomic variables for individual investors enables us to test the hypothesis that due to informational advantages economists are more likely to hold stocks than...

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This paper analyzes the impact of macroeconomic announcements on the correlation between credit spreads and the term structure of interest rates. We propose to employ an extented version of the Constant Conditional Correlations framework of Bollerslev (1990) to describe the evolution of the...

The paper introduces and estimates a multivariate level-GARCH model for the long rate and the term structure spread where the conditional volatility is proportional <p> to the y’th power of the variable itself (level effects) and the conditional covariance <p> matrix evolves according to a...</p></p>