Now showing items 31-40 of 217
Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities
We develop general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit recent nonparametric ...
Semiparametric estimation of a partially linear censored regression model
(Econometric Theory, 2001-12-01)
In this paper we propose an estimation procedure for a censored regression model where the latent regression function has a partially linear form. Based on a conditional quantile restriction, we estimate the model by a two ...
Does the median voter consume too much water? Analyzing the redistributive role of residential water bills
(National Tax Journal, 2002-12-01)
According to allocative efficiency criteria, water in the American West is often underpriced in urban sales. The political-economic process that motivates municipal managers to impose the resulting deadweight losses on their ...
Prospective Deficits and the Asian Currency Crisis
(Journal of Political Economy, 2001-12)
Measuring causes: Episodes in the quantitative assessment of the value of money
(History of Political Economy, 2001-12-01)
Hedging and financial fragility in fixed exchange rate regimes
(European Economic Review, 2001-06-23)
Currency crises that coincide with banking crises tend to share at least three elements. First, banks have a currency mismatch between their assets and liabilities. Second, banks do not completely hedge the associated exchange ...
Ordinal efficiency and dominated sets of assignments
(Journal of Economic Theory, 2003-09-01)
Using lotteries is a common tool for allocating indivisible goods. Since obtaining preferences over lotteries is often difficult, real-life mechanisms usually rely on ordinal preferences over deterministic outcomes. Bogomolnaia ...
Why do minority men earn less? A study of wage differentials among the highly educated
(Review of Economics and Statistics, 2006-07-03)
We estimate wage gaps using nonparametric matching methods and detailed measures of field of study for university graduates. We find a modest portion of the wage gap is the consequence of measurement error in the Census ...
Frontiers of financial econometrics and financial engineering
(Journal of Econometrics, 2003-09-01)
The papers in this volume represent the most recent advances in the intersection of the fields of financial econometrics and financial engineering. A collection of papers presented at a conference organized by the Guest ...
Measuring the dynamic efficiency costs of regulators' preferences: Municipal water utilities in the Arid West
Evidence suggests that municipal water utility administrators in the western US price water significantly below its marginal cost and, in so doing, inefficiently exploit aquifer stocks and induce social surplus losses. This ...