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Accurate Methods for Approximate Bayesian Computation Filtering

Laurent E. Calvet and Veronika Czellar.

in Journal of Financial Econometrics

September 2015; p ublished online July 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Financial Forecasting and Simulation; Econometric Modelling. 9894 words.

The Approximate Bayesian Computation (ABC) filter extends the particle filtering methodology to general state-space models in which the density of the observation conditional on the state...

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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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Aggressive Elites and Vulnerable Entrepreneurs: Trust and Cooperation in the Shadow of Conflict

Halvor Mehlum and Karl Moene.

in The Oxford Handbook of the Economics of Peace and Conflict

April 2012; p ublished online November 2012 .

Article. Subjects: Economics; Econometric and Statistical Methods and Methodology: General; Health, Education, and Welfare. 9174 words.

This article explores the tendency for poverty and conflict, as well as for prosperity and peace, to reinforce one another, examining two specific factors. One is the type of rents that...

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Algorithmic Trading, Optimal Execution, and Dyna Mic Port Folios

Petter N. Kolm and Lee Maclin.

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. 11968 words.

This article discusses the portfolio optimization with market impact costs, combining execution and portfolio risk, and dynamic portfolio analysis. A multi-period portfolio optimization...

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Allocation of human capital and innovation at the frontier: firm-level evidence on Germany and the Netherlands

Eric Bartelsman, Sabien Dobbelaere and Bettina Peters.

in Industrial and Corporate Change

October 2015; p ublished online November 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Education and Research Institutions; Technological Change; Research and Development; Economic Development. 23755 words.

This article examines how productivity effects of human capital and innovation vary at different points of the conditional productivity distribution. Our analysis draws upon two large...

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Analysing farmland rental rates using Bayesian geoadditive quantile regression

Alexander März, Nadja Klein, Thomas Kneib and Oliver Musshoff.

in European Review of Agricultural Economics

September 2016; p ublished online August 2016 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Agricultural Economics. 15292 words.

Empirical studies on farmland rental rates so far have predominantly concentrated on modelling conditional means using spatial autoregressive models. While these models only focus on the...

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The Analysis of Macroeconomic Panel Data

Joerg Breitung.

in The Oxford Handbook of Panel Data

January 2015; p ublished online May 2015 .

Article. Subjects: Economics; Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 20219 words.

This chapter reviews recent developments in the analysis of macroeconomic panel data which typically involve aggregate variables from various countries. In contrast to the large N, small T ...

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Analyzing Three-Dimensional Panel Data of Forecasts

Antony Davies, Kajal Lahiri and Xuguang Sheng.

in The Oxford Handbook of Economic Forecasting

July 2011; p ublished online September 2012 .

Article. Subjects: Economics; Econometric and Statistical Methods and Methodology: General; Financial Markets. 7241 words.

This article illustrates how frameworks built around multidimensional panel data of forecasts can be used not only to test the rational expectations hypothesis correctly, but also to study...

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… and the Cross-Section of Expected Returns

Campbell R. Harvey, Yan Liu and Heqing Zhu.

in The Review of Financial Studies

January 2016; p ublished online October 2015 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Econometric Modelling; Economics. 28414 words.

Hundreds of papers and factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make sense to use the usual criteria for establishing...

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