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Adaptive Realized Kernels

Marine Carrasco and Rachidi Kotchoni.

in Journal of Financial Econometrics

September 2015; p ublished online May 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Economics. 9451 words.

We design adaptive realized kernels to estimate the integrated volatility in a framework that combines a stochastic volatility model with leverage effect for the efficient price and a...

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Adding The Time Dimension: Optimal Rebalancing

Mark Kritzman, Simon Myrgren and Sebastien Page.

in The Oxford Handbook of Quantitative Asset Management

December 2011; p ublished online November 2012 .

Article. Subjects: Economics; Financial Markets; Econometric and Statistical Methods and Methodology: General. 5990 words.

A technique called dynamic programming can be used to identify an optimal rebalancing schedule, which significantly reduces rebalancing and sub-optimality costs. Dynamic programming...

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Additive Intensity Regression Models in Corporate Default Analysis

David Lando, Mamdouh Medhat, Mads Stenbo Nielsen and Søren Feodor Nielsen.

in Journal of Financial Econometrics

June 2013; p ublished online January 2013 .

Journal Article. Subjects: Econometric and Statistical Methods; Special Topics; Bankruptcy; Econometric Modelling; Corporate Governance. 13776 words.

We consider additive intensity (Aalen) models as an alternative to the multiplicative intensity (Cox) models for analyzing the default risk of a sample of rated, nonfinancial U.S. firms....

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Adoption and Design of Deposit Insurance

Aslı Demirgüç-Kunt, Edward Kane and Luc Laeven.

in Deposit Insurance around the World

July 2008; p ublished online August 2013 .

Chapter. Subjects: Econometrics and Mathematical Economics. 15116 words.

This chapter, focuses on the adoption of an explicit deposit insurance scheme (EDIS), what factors influence safety net design, and if these same factors are able to affect risk-shifting...

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Advanced Consumption-Based Asset Pricing

Claus Munk.

in Financial Asset Pricing Theory

April 2013; p ublished online May 2013 .

Chapter. Subjects: Econometrics and Mathematical Economics. 26761 words.

Ch. 8 illustrated that the simple CRRA-lognormal consumption-based asset pricing model cannot match stylized empirical facts. This chapter presents a number of extensions of the simple...

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Advanced Inference in the Real World

Amos Golan.

in Foundations of Info-Metrics

December 2017; p ublished online November 2017 .

Chapter. Subjects: Econometrics and Mathematical Economics. 13331 words.

In this chapter I continue the voyage into info-metrics in action, with an emphasis on more advanced info-metric inference in real-world environments. I develop a sequence of increasingly...

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The Advantage of Resource Queues over Spot Resource Markets: Decision Coordination in Experiments under Resource Uncertainty

Miguel A. Fonseca, Alexander Pfaff and Daniel Osgood.

in American Journal of Agricultural Economics

October 2012; p ublished online October 2012 .

Journal Article. Subjects: Design of Experiments; Microeconomics. 10718 words.

Farmers have to make key decisions, such as which crops to plant or whether to prepare the soil, before knowing how much water they will get. They face losses if they make costly decisions...

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Adverse Selection and Moral Hazard: Implications for Health Insurance Markets

Mark V. Pauly.

in Incentives and Choice in Health Care

May 2008; p ublished online August 2013 .

Chapter. Subjects: Econometrics and Mathematical Economics. 10751 words.

This chapter explores two key issues in the health insurance market: adverse selection and moral hazard. It first describes ideal insurance to serve as a benchmark for comparing insurance...

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Affine Models for Credit Risk Analysis

C. Gourieroux, A. Monfort and V. Polimenis.

in Journal of Financial Econometrics

P ublished online April 2006 .

Journal Article. Subjects: Financial Markets; Econometrics and Mathematical Economics. 9518 words.

Continuous-time affine models have been recently introduced in the theoretical financial literature on credit risk. They provide a coherent modeling, rather easy to implement, but have not...

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After “Technical Progress and the Aggregate Production Function”

Edited by Robert M. Solow.

in New Developments in Productivity Analysis

August 2001; p ublished online February 2013 .

Chapter. Subjects: Econometrics and Mathematical Economics. 2578 words.

This chapter presents a speech by Robert M. Solow, whose seminal 1957 paper laid the conceptual foundations for total factor productivity measurement, and provided remarks assessing both...

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