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A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities

Diebold, Francis; Schorfheide, Frank; Chen, Fei - National Bureau of Economic Research (NBER) - 2012

We propose and illustrate a Markov-switching multi-fractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence (indeed long memory). Empirical exploration suggests MSMD's superiority...

Persistent link: https://www.econbiz.de/10011271372

Globalizing Activities and the Rate of Survival: Panel Data Analysis on Japanese Firms

Kimura, Fukunari; Fujii, Takamune - National Bureau of Economic Research (NBER) - 2003

This paper conducts a Cox-type survival analysis of Japanese corporate firms using census-coverage data collected by METI. A study of exiting firms confirmed several characteristics of Japanese firms in the 1990s. First, excessive internalization in the corporate structure and activities is...

Persistent link: https://www.econbiz.de/10005775097

Econometric Mixture Models and More General Models for Unobservables in Duration Analysis

Heckman, James J.; Taber, Christopher R. - National Bureau of Economic Research (NBER) - 1994

This paper considers models for unobservables in duration models. It demonstrates how cross-section and time-series variation in regressors facilitates identification of single-spell, competing risks and multiple spell duration models. We also demonstrate the limited value of traditional...

Persistent link: https://www.econbiz.de/10005601540

Job Search and Impatience

DellaVigna, Stefano; Paserman, M. Daniele - National Bureau of Economic Research (NBER) - 2004

. The effect on the exit rate from unemployment is unclear. In this paper we show that, if agents have exponential time … unemployment later. Using two large longitudinal data sets, we find that various measures of impatience are negatively correlated … with search effort and the exit rate from unemployment, and are orthogonal to reservation wages. Overall, impatience has a …

Persistent link: https://www.econbiz.de/10005575764

Individual Investor Mutual-Fund Flows

Ivkovich, Zoran; Weisbenner, Scott - National Bureau of Economic Research (NBER) - 2008

This paper studies the relation between individuals' mutual fund flows and fund characteristics, establishing three key results. First, consistent with tax motivations, individual investors are reluctant to sell mutual funds that have appreciated in value and are willing to sell losing funds....

Persistent link: https://www.econbiz.de/10005579921

Multi-Period Corporate Default Prediction With Stochastic Covariates

Duffie, Darrell; Siata, Leandro; Wang, Ke - National Bureau of Economic Research (NBER) - 2006

We provide maximum likelihood estimators of term structures of conditional probabilities of corporate default, incorporating the dynamics of firm-specific and macroeconomic covariates. For U.S. Industrial firms, based on over 390,000 firm-months of data spanning 1979 to 2004, the level and shape...

Persistent link: https://www.econbiz.de/10005036792

Seam Bias, Multiple-State, Multiple-Spell Duration Models and the Employment Dynamics of Disadvantaged Women

Shore-Sheppard, Lara; Ham, John C.; Li, Xianghong - National Bureau of Economic Research (NBER) - 2009

Panel surveys generally suffer from "seam bias"--too few transitions observed within reference periods and too many reported between interviews. Seam bias is likely to affect duration models severely since both the start date and the end date of a spell may be misreported. In this paper we...

Persistent link: https://www.econbiz.de/10005040650

Multi-Period Corporate Failure Prediction with Stochastic Covariates

Duffie, Darrell; Wang, Ke - National Bureau of Economic Research (NBER) - 2004

We provide maximum likelihood estimators of term structures of conditional probabilities of bankruptcy over relatively long time horizons, incorporating the dynamics of firm-specific and macroeconomic covariates. We find evidence in the U.S. industrial machinery and instruments sector, based on...

Persistent link: https://www.econbiz.de/10005019417

Optimal Unemployment Insurance When Income Effects are Large

Chetty, Raj - National Bureau of Economic Research (NBER) - 2004

Studies of the consumption-smoothing benefits of unemployment insurance (UI) have found that the optimal benefit level … optimal benefit rate in terms of income and price elasticities of unemployment durations, directly inferring risk aversion for … income effects account for 70% of the effect of UI on unemployment durations, and yield an optimal replacement rate around 50 …

Persistent link: https://www.econbiz.de/10005718418

The Predictive Validity of Subjective Probabilities of Survival

Hurd, Michael D.; McGarry, Kathleen - National Bureau of Economic Research (NBER) - 1997

Although expectations (or subjective probability distributions) play a prominent role in models of decision-making under uncertainty, we have very little data on them and are instead forced to base our models on unverifiable assumptions. Macroeconomic models often assume rational expectations,...

Persistent link: https://www.econbiz.de/10005828452

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