The paper explores the fit properties of a class of multivariate Lévy processes, which are characterized as time-changed correlated Brownian motions. The time-change has a common and an idiosyncratic component, to re ect the properties of trade, which it represents. The resulting process may...

This paper constructs a class of multivariate Gaussian marked Poisson processes to model asset returns. The model proposed accommodates the cross section properties of trades, allows for returns to be correlated conditional on trading activity, and preserves the economic intuition of normality...

The CFL programme has been introduced in 1985 to improve the youths occupational chances. It provides the employers some incentive to recruit young workers by reducing both the labour and the firing costs relative to those they would bear by recruiting older workers. Following the literature,...

The availability of a flexible labour force might influence adjustment decisions regarding the rigid part of the labour force. To test this idea, we contrast the use of trainees (fixed-term contracts) and normal-contract workers (open-end contracts) when a reform made it more costly to use...

This paper investigates the role that idiosyncratic uncertainty plays in shaping social preferences over the degree of labor market flexibility, in a general equilibrium model of dynamic labor demand where the productivity of firms evolves over time as a Geometric Brownian motion. A key result...

The traditional multivariate Lévy process constructed by subordinating a Brownian motion through a univariate subordinator presents a number of drawbacks, including the lack of independence and a limited range of dependence. In order to face these, we investigate multivariate subordination,...

Labor market reforms increasing flexibility at the margin have been recently paying out in terms of employment growth. This paper argues that two-tier labor market reforms have a transitional honeymoon, job creating effect. In a dynamic model of labor demand under uncertainty, the paper predicts...

Time-changed Brownian motions are extensively applied as mathematical models for asset returns in Finance. Time change is interpreted as a switch to trade-related business time, different from calendar time. Time-changed Brownian motions can be generated by infinite divisible normal mixtures....