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Multivariate dependence of implied volatilities from equity options as measure of systemic risk

Jobst, Andreas A. - In: International Review of Financial Analysis 28 (2013) C, pp. 112-129

This paper presents a methodology to examine the multivariate tail dependence of the implied volatility of equity … changes in the dependence structure in response to common shocks affecting individual risk profiles, possible linkages during … collapse of Lehman Brothers. The average (multivariate) dependence among a global sample of banks and insurance companies …

Persistent link: https://www.econbiz.de/10011056771

FRAMING EMERGING NANOTECHNOLOGIES: STEPS TOWARDS A FORWARD-LOOKING ANALYSIS OF SKILLS

Fursov, Konstantin; Miles, Ian - National Research University Higher School of Economics - 2013

How can we think about the implications of radical technological change for employment and skills? Given the long lead-times required to train professionals, this is an important question, and standard approaches to modeling employment and occupational trends only provide limited parts of the...

Persistent link: https://www.econbiz.de/10010698388

Closed form solution of correlation in doubly truncated or censored sample of bivariate log-normal distribution

Vilmunen, Jouko; Palmroos, Peter - Suomen Pankki - 2013

In this study we present a closed form solution to the moments and, in particular, correlation of two log-normally distributed random variables, when the underlying log-normal distribution is potentially truncated or censored at both tails. The closed form solution that we derive also covers the...

Persistent link: https://www.econbiz.de/10010698831

Estimating the Impact of Alternative Multiple Imputation Methods on Longitudinal Wealth Data

Grabka, Markus; Westermeier, Christian - Verein für Socialpolitik - VfS - 2014

Statistical Analysis in surveys is often facing missing data. As case-wise deletion and single imputation prove to have undesired properties, multiple imputation remains as a measure to handle this problem. In a longitudinal study, where for some missing values past or future data points might...

Persistent link: https://www.econbiz.de/10011163945

Of Butterflies and Caterpillars: Bivariate Normality in the Sample Selection Model

Pigini, Claudia - Dipartimento di Scienze Economiche e Sociali, Facoltà … - 2012

Since the seminal paper by Heckman (1974), the sample selection model has been an essential tool for applied economists and arguably the most sensitive to sources of misspecification among the standard microeconometric models involving limited dependent variables. The need for alternative...

Persistent link: https://www.econbiz.de/10010610106

FOOD RESPONSIBILITY - A NATIONAL CHALLENGE. CASE STUDY - IMPLEMENTATION OF A SOCIAL CAMPAIGN IN BUCHAREST SCHOOLS

STOICA, Ivona; DUMITRU, Nicoleta Rossela - In: Holistic Marketing Management Journal 2 (2012) 2, pp. 83-89

Those who think they have no time for healthy eating will sooner or later have to find time for illness. (Edward Stanley) Our food should be our medicine and our medicine should be our food. (Hippocrates) Eating healthy does not mean giving up favorite food dishes or replace them with others,...

Persistent link: https://www.econbiz.de/10010894395

Testing Linearity Using Power Transforms of Regressors

Baek, Yae In; Cho, Jin Seo; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2013

We develop a method of testing linearity using power transforms of regressors, allowing for stationary processes and time trends. The linear model is a simplifying hypothesis that derives from the power transform model in three different ways, each producing its own identification problem. We...

Persistent link: https://www.econbiz.de/10010895656

Collaborative consumption as a new consumer trend

Wardak, Paulina; Zalega, Tomasz - In: Research Reports 2013 (2013) 1, pp. 7-32

The purpose of this article is to demonstrate that young people living in large Polish cities are distrustful of sharing different goods with strangers, and therefore, they are much more likely to benefit from collaborative consumption when they know the people with whom they make the...

Persistent link: https://www.econbiz.de/10010906125

Alternative consumption trends in Polish urban households in the period of crisis

Zalega, Tomasz - In: Research Reports 2013 (2013) 1, pp. 56-78

The article analyses new trends in the behaviour of Polish households during the present crisis. The description of the research methodology and the sample used is followed by a discussion of major consumption trends observed among the respondents, such as cocooning, conscious consumption, smart...

Persistent link: https://www.econbiz.de/10010906131

Testing Linearity Using Power Transforms of Regressors

BAEK, YAE IN; Cho, Jin Seo; PHILLIPS, PETER C.B. - Economic Research Institute, College of Business and … - 2015

Persistent link: https://www.econbiz.de/10011273268