Title:Rationalizing Trading Frequency and Returns
Author(s):BONAPARTE, Yosef; COOPER, RussellDate:2010Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:Barber and Odean (2000) study the relationship between trading frequency and returns. They find that households who trade more frequently have a lower net return than other households. But all households have about the ...
Title:Reaction to Technology Shocks in Markov-Switchings Structural VARs: Identification via heteroskedasticity
Author(s):NETŠUNAJEV, AlekseiDate:2012Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:The paper reconsiders the conflicting results in the debate connected to the effects of technology shocks on hours worked in the bivariate system. Given major dissatisfaction with the just-identifying long-run restrictions, ...
Title:Realized Beta GARCH: Multivariate GARCH model with realized measures of volatility and covolatility
Author(s):HANSEN, Peter Reinhard; LUNDE, Asger; VOEV, ValeriDate:2012Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:We introduce a multivariate GARCH model that incorporates realized measures of
volatility and covolatility. The realized measures extract information about the current
level of volatility and covolatility from high-frequency ...
Title:Realized GARCH: A joint model for returns and realized measures of volatility
Author(s):HANSEN, Peter Reinhard; HUANG, Zhuo; SHEK, Howard HowanDate:2012Type of Publication:ArticleAbstract:We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized measure to the conditional variance of ...
Title:Reassessing Labor Market Reforms: Temporary Contracts as a Screening Device
Author(s):FACCINI, RenatoDate:2008Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:Standard models of temporary contracts are either inconclusive, or fail to ac-
count for the positive correlation between temporary contracts and the employ-
ment rate, and for the high transition rates into permanent ...
Title:Recent Developments in International Finance: A Guide to Research
Author(s):STEIN, Jerome L.; PALADINO, GiovannaDate:1997Type of Publication:ArticleAbstract:This is a critical evaluation of the state of the art in International Finance. Several points of reference are selected: The Mundell-Fleming-Branson (MFP) paradigm, the monetary model with purchasing power parity (PPP) ...
Title:Recent Results on Belief, Knowledge and the Epistemic Foundations of Game Theory.
Author(s):BATTIGALLI, Pierpaolo; BONANNO, GiacomoDate:1999Type of Publication:ArticleAbstract:We provide a self-contained, selective overview of the literature on the role of knowledge and beliefs in game theory. We focus on recent results on the epistemic foundations of solution concepts, including correlated ...