Showing 1 - 10 of 17
A large number of recent experimental studies show that women are less likely to sort into competitive environments. While part of this effect may be explained by gender differences in risk attitudes and overconfidence, previous studies have attributed the majority of the gender gap to gender...
Persistent link: https://www.econbiz.de/10011597970
We challenge the standard definition of economic rationality as consistency by making use of a novel distinction between axioms of decision theory: consistency and preference axioms. We argue that this distinction has been overlooked by the literature and, as a result, evidence that consistency...
Persistent link: https://www.econbiz.de/10014323610
Persistent link: https://www.econbiz.de/10000414276
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The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with differing results in terms of strength and direction of the relationship. This paper uses models of the multivariate GARCH type which allow for time-variability and regime changes in...
Persistent link: https://www.econbiz.de/10009625556
This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero restrictions on the associated matrix of factor loadings. We suggest a sequential least squares algorithm for minimizing the total sum of squared residuals and a two-step approach based...
Persistent link: https://www.econbiz.de/10010373684
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010405475
Modern systems of official statistics require the estimation and publication of business statistics for disaggregated domains, for example, industry domains and geographical regions. Outlier robust methods have proven to be useful for small area estimation. Recently proposed outlier robust...
Persistent link: https://www.econbiz.de/10010486950
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We study the rank of the instantaneous or spot covariance matrix Σ(t) of a multidimensional continuous semi … problem is that the inherent averaging in local covariance statistics produces a bias that distorts the rank statistics. We …-driven critical values via normed p-variations of estimated local covariance matrices. The methods are illustrated by simulations and …
Persistent link: https://www.econbiz.de/10012655380